Cross-sectional returns predictability for emerging market banks: A study on Indian banking system

Artikel

Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated Fama-French (1992) 3-factor model could not explain the abnormal returns, primarily due to very high leveraged banks' balance sheets. Thus, we extend the Fama-French 3-factor model and Carhart 4-factor model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency variables and solvency variables to articulate the existence of abnormal returns. With the inclusion of conditioning information, the study predictability of abnormal returns improved significantly.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 7 ; Year: 2019 ; Issue: 1 ; Pages: 1-17 ; Abingdon: Taylor & Francis

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Portfolio Choice; Investment Decisions ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading ; Banks; Depository Institutions; Micro Finance Institutions; Mortgages
• Thema: Asset pricing ; banking stock returns ; conditioning information ; investment strategies

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Mohapatra, Sabyasachi ; Misra, Arun Kumar
• Ereignis: Veröffentlichung
• (wer): Taylor & Francis
• (wo): Abingdon
• (wann): 2019

Weitere Informationen

• DOI: doi:10.1080/23322039.2019.1586078
• Handle: http://hdl.handle.net/10419/245206
• Letzte Aktualisierung: 10.03.2025, 11:45 MEZ