| 000 -LEADER |
|---|
| fixed length control field |
01781nam a22001577a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
210205b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Agrawal, T.J., Sehgal, S. and Vasishth, V. |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Firm attributes, corporate fundamentals and investment strategies: An empirical study for Indian stock market |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Management and Labour Studies |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
45(3), Aug, 2020: p.336-387 |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
We combine corporate attributes and fundamental factors for evolving different investment strategies using data from 200 companies listed in the National Stock Exchange (NSE) from 2005 to 2018. The results indicate the existence of equity market anomalies based on size, volume, earnings, cash flow variability, asset growth, price momentum, price-to-book ratio and profitability. The performance of trading strategies is sensitive to portfolio construction procedure, that is, forming 5/10/20 portfolios. Bivariate strategies generally perform better than univariate strategies in the Indian context. On an overall basis, the size-based strategy performs best with a mean excess return of 3.63 per cent per month. We further find that corporate fundamentals such as profitability, operating efficiency, liquidity, solvency, innovation and entry barriers help in filtering poor future performers that may have been recommended by attributes-based strategy. Our filtered portfolios based on firm attributes and corporate fundamentals outperform unfiltered portfolios, and their returns are not explained by multi-factor performance benchmarks. – Reproduced
|
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
CAPM, Fama–french model, Trading strategies, Equity anomalies, Accounting fundamentals |
| 9 (RLIN) |
21645 |
| 773 ## - HOST ITEM ENTRY |
|---|
| Main entry heading |
Management and Labour Studies |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
|---|
| Subject DIP |
STOCK MARKET |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Item type |
Articles |
