Equity Markets in India : Returns, Risk and Price Multiples

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Equity Markets in India : Returns, Risk and Price Multiples

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http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/rpi/detail.action?docID=4524979

Title remainder

Returns, Risk and Price Multiples

Instantiates

• Equity Markets in India : Returns, Risk and Price Multiples

Publication

• Singapore, Springer, 2016

Copyright

• ©2016

Carrier category

online resource

Carrier category code

cr

Carrier MARC source

rdacarrier

Color

multicolored

Content category

text

Content type code

txt

Content type MARC source

rdacontent

Contents

• Preface -- Acknowledgements -- Contents -- About the Authors -- Abbreviations -- List of Figures -- List of Tables -- List of Annexures -- 1 Introduction -- Section I: Literature Review -- Equity Market Studies -- Factors Affecting Returns -- Section II: Objectives -- Section III: Research Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Data Analysis -- Section IV: Layout of the Study -- Section V: Summary -- Annexure 1.1: Constituent Companies and Sectors of NSE 500 (as on 11 March 2013) -- References -- 2 Rates of Return on Equity Funds (ROEF)-Corporates' Perspective -- Introduction -- Section I: Literature Review -- Risk Factors/Determinants Affecting ROE -- Impact of Recent Financial Crisis on India -- Section II: Scope, Data and Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Individual Companies and Portfolios -- Definition of ROEF -- Initial Public Offering (IPO) Adjustment -- Data Sources and Analysis -- Section III: Rates of Return from the Company's Perspective-ROEF -- Section IV: Summary -- References -- 3 Expected Rates of Return -- Introduction -- Section I: Literature Review -- Section II: Scope, Data and Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- The CAPM Model -- Deployment of the CAPM -- Cost of Equity (Ke) or Expected Rates of Return on Equity Shares -- DOL and DFL -- Data Sources and Analysis -- Section III: Expected Rates of Return Based on Capm -- Section IV: Expected Rates of Return-Cost of Equity -- Section V: Summary -- References -- 4 Rates of Return-Investors' Perspective -- Introduction -- Section I: Literature Review -- Factors Affecting Returns -- Behaviour of Share Prices -- Section II: Scope, Data and Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis
• Focus on Long-Term Returns -- Individual Companies and Portfolios -- Holding Periods -- Share Prices -- Definition of Returns -- Bonus and Rights Issue Adjustments -- Weights for Computing Portfolio Returns -- Dividends -- Transaction Costs and Taxes -- Data Sources and Analysis -- Section III: Portfolio Returns for Varied Holding Periods -- Section IV: Overall Characteristics of Returns -- Periods of High Returns -- Periods of Low Returns and Losses -- Magnitude of Variations -- Three Phases -- Two Components of Total Return -- Declining Importance of Dividend -- Comparison with Debt Instruments -- a. Long-Term Returns' Comparisons -- b. Short-Term Returns' Comparison -- Section V: Concluding Observations -- Annexure 4.1 -- Example of Bonus Share Adjustment -- Example for Rights Issue Adjustment -- References -- 5 Rates of Return-Disaggregative Analysis -- Section I: Introduction -- Age -- Size -- Ownership Structure -- Underlying Sector/Industry Affiliation -- Section II: Literature Review -- Section III: Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Individual Companies and Disaggregated Portfolios -- Share Prices -- Definition of Returns -- Bonus and Rights Issue Adjustments -- Weights for Computing Portfolio Returns -- Dividends -- Transaction Costs and Taxes -- Data Sources and Analysis -- Age -- Size -- Ownership Structure -- Underlying Sector/Industry Affiliation -- Section IV: Returns Based on the Age, Size, Ownership Structure and Underlying Sector/Industry Affiliation of Sample Companies -- Age -- Size -- Ownership Structure -- Underlying Sector/Industry Affiliation -- Section V: Summary -- References -- 6 Analysis of Price Multiples -- Introduction -- Section I: Literature Review -- Section II: P/E Ratios in India -- Interpreting the P/E Ratio: A Word of Caution -- Earnings Per Share (EPS)
• Relationship Between EPS and Prices -- P/B Ratio -- Section III: Scope, Data and Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Definition of P/E Ratios -- Computation of P/E Ratios -- Computation of P/B Ratios -- Computation of EPS Growth -- Data Sources and Analysis -- Section IV: Price Multiples -- Section V: Summary -- References -- 7 Volatility in Stock Returns -- Introduction -- Section I: Literature Review -- International Studies on Behaviour of Returns -- Indian Studies on Behaviour of Returns -- Section II: Scope, Data and Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Methodology -- Formulation of Hypotheses -- Section III: Index Returns and Their Statistical Treatment -- Section IV: Summary -- Annexure 7.1: Glossary of Terms -- Annexure 7.2: Ljung-Box Q2 Statistics -- Annexure 7.3: Lagrange Multiplier Test -- Annexure 7.4: Stationarity Test Statistics -- References -- 8 Level of Market Efficiency Using 'Rational Bubbles' Approach -- Section I: Introduction -- Section II: Literature Review -- Rational Bubbles -- Share Price Changes -- Section III: Methodology -- Scope -- NSE 500 Index Background -- Secondary Data and Analysis -- Share Prices -- Dividends -- Transaction Costs and Taxes -- Tests for Existence of Rational Bubbles -- Data Analysis -- Section IV: Statistical Models Used to Test the Presence of 'Rational Bubbles' -- Unit Root Test -- Tests for Cointegration -- Section V: Results and Discussion -- Unit Root Test -- Threshold Autoregressive (TAR) Test -- Momentum-Threshold Autoregressive (M-TAR) Test -- M-TAR Error Correction Model -- Section VI: Summary -- Annexure 8.1: Brief Definition of Theories and Terms -- Annexure 8.2: Augmented Dickey-Fuller (ADF) Test Results -- Annexure 8.3: Results of TAR Cointegration Test
• Annexure 8.4: Estimation Results of M-TAR Error Correction Model (ECM) -- Annexure 8.5: Summary and Diagnostic Checking for M-TAR Models (1 and 2) -- Annexure 8.6: Granger Causality and Path Asymmetry Test -- Annexure 8.7: Engle-Granger Test Results -- Annexure 8.8: ARDL Bound Test Results -- Annexure 8.9: Johansen-Juselius Test Results -- References -- 9 Concluding Observations -- Section I: Returns on Equity -- Section II: Analysis of Price Multiples -- Section III: Risk/Volatility in Returns -- Section IV: Level of Market Efficiency -- Section V: Summary -- References

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unknown

Extent

1 online resource (208 pages)

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online

Isbn

9789811008689

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computer

Media MARC source

rdamedia

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c

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remote