A closer look at industry-associated value premium: evidence from India
- Title
- A closer look at industry-associated value premium: evidence from India
- Creator
- Sharma B.; Srikanth P.; Mathew M.
- Description
- This paper examines whether the academic literature-promised value premium has any industry association in the Indian equity market and the relationship between stock returns, value, and size within and across industries. We examine all listed firms trading at BSE India between 1999-2020, using CAPM and Fama-French three-factor models on each firm-levels and industry-level portfolio. The positive and significant value effect was found to exist in 17 out of 21 industry groups. Both industry and firm-level value effects are identified; however, the firm-level effect seems more prominent. Furthermore, the value effect is most substantial in small-cap value stocks of value- and growth-oriented industries, large-cap value stocks of value-oriented industry groups, then small-cap growth stocks of value- and growth-oriented industries and large-cap growth stocks of value- and growth-oriented industries. We also show evidence confirming the claim that value premium results from investors challenging higher returns from firms and industries operating in higher risk and distressing constraints. Copyright 2022 Inderscience Enterprises Ltd.
- Source
- Global Business and Economics Review, Vol-27, No. 3, pp. 352-392.
- Date
- 2022-01-01
- Publisher
- Inderscience Publishers
- Subject
- CAPM; Fama-French three-factor model; financial market; firm size; India; portfolio management; regulated industry groups; risk measures; stock returns; value effect; value premium
- Coverage
- Sharma B., School of Business and Management Finance, Christ University, Kengeri Campus, Mysore Road, Karnataka, Bangalore, 560029, India; Srikanth P., School of Business and Management Finance, Christ University, Kengeri Campus, Mysore Road, Karnataka, Bangalore, 560029, India; Mathew M., Christ University, Hosur Road, Karnataka, Bangalore, 560029, India
- Rights
- Restricted Access
- Relation
- ISSN: 10974954
- Format
- Online
- Language
- English
- Type
- Article
Collection
Citation
Sharma B.; Srikanth P.; Mathew M., “A closer look at industry-associated value premium: evidence from India,” CHRIST (Deemed To Be University) Institutional Repository, accessed February 24, 2025, https://archives.christuniversity.in/items/show/15313.