Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Articles Article Faculty Publications -Articles Dublin Core The Dublin Core metadata element set is common to all Omeka records, including items, files, and collections. For more information see, http://dublincore.org/documents/dces/. Title A name given to the resource Size, Value Effects and the Explanatory Power of Pricing Models: Evidence from BSE listed Indian Industries Subject The topic of the resource Asset Pricing; Cross-sectional Models; India; Portfolio Management; Stock Market; Time-series Models Description An account of the resource The firm size and value anomalies are the global-level counterpart for explaining the cross-sectional variations of equity returns. This paper aims to examine the size, value effects and explanatory power of three well-known pricing models - CAPM, three-and five-factor- across and within 15 Indian industries. The study considers all firms listed on Indian largest stock exchange, BSE (Bombay stock exchange), between 1999-2021 by developing portfolios using firm size/value, size/investment and size/profitability risk characteristics. The study employs both univariate and multivariate methods, including time series, GRS statistics, and cross-sectional models within and across industries portfolios. Results indicated that size and value effects exist in almost all industries, presenting that size and value anomalies are the most prominent determinants for industry-level equity returns. In addition, the profitability and investment effects were also investigated; however, the results are mixed from industry to industry. In the case of the explanatory power of pricing models, the five-factor performs much better within and across industry portfolios than other pricing models; however, the models' effectiveness varies by industry. We also reported that investors who seek to allocate funds within and across industries tend to be expected reasonably stable returns and conceivably predictable; the findings of this study contribute to the existing literature on asset pricing and portfolio management in emerging markets. The Author(s) 2022. Creator An entity primarily responsible for making the resource Sharma B.; Srikanth P.; Suresha B. Source A related resource from which the described resource is derived Scientific Papers of the University of Pardubice, Series D: Faculty of Economics and Administration, Vol-30, No. 2 Publisher An entity responsible for making the resource available University of Pardubice Date A point or period of time associated with an event in the lifecycle of the resource 2022-01-01 Identifier An unambiguous reference to the resource within a given context <a href="https://doi.org/10.46585/sp30021490" target="_blank" rel="noreferrer noopener">https://doi.org/10.46585/sp30021490</a> <br /><br /><a href="https://www.scopus.com/inward/record.uri?eid=2-s2.0-85148238222&amp;doi=10.46585%2Fsp30021490&amp;partnerID=40&amp;md5=08a9db375c7936878e167c4ba83ebd66" target="_blank" rel="noreferrer noopener">https://www.scopus.com/inward/record.uri?eid=2-s2.0-85148238222&amp;doi=10.46585%2fsp30021490&amp;partnerID=40&amp;md5=08a9db375c7936878e167c4ba83ebd66</a> Rights Information about rights held in and over the resource All Open Access; Gold Open Access Relation A related resource ISSN: 1211555X Format The file format, physical medium, or dimensions of the resource Online Language A language of the resource English Type The nature or genre of the resource Article Coverage The spatial or temporal topic of the resource, the spatial applicability of the resource, or the jurisdiction under which the resource is relevant Sharma B., Christ University, School of Business and Management, India; Srikanth P., Christ University, School of Business and Management, India; Suresha B., Christ University, School of Business and Management, India