Risk-adjusted and Bonferroni-adjusted seasonality in emerging Asian stock markets

Risk Exposures in the Asian Emerging Markets

Asian emerging markets have experienced both market liberalization and financial crisis. During the periods covering these two events, I show that the existing asset pricing models are unable to fully capture the risk in the small size, large size, glamour and value portfolios. I hypothesize that these two events changed the degree of market integration, thus varying the risk exposures in portf...

The tail risk of emerging stock markets

Article history: Received 7 August 2009 Received in revised form 10 September 2009 Accepted 10 September 2009 Available online 19 September 2009 We investigate tail risk in emerging stock markets at the country, regional and world levels, by comparing the investable and noninvestable segments in terms of the expected shortfall of standardized returns and tail dependence on the world market. Emp...

Risk-adjusted gamma discounting

It is widely recognized that the economics of distant-future events, like climate change, is critically dependent upon the choice of a discount rate. Unfortunately, it is unclear how to discount distant-future events when the future discount rate itself is unknown. In previous work, an analytically-tractable approach called ‘‘gamma discounting’’ was proposed, which gave a declining discount rat...

Risk and Return in Momentum Strategies: Profitability from Portfolios based on Risk-Adjusted Stock Ranking Criteria

Stock Market Seasonality in an Emerging Market

The objective of this paper is to explore the day-of-the-week effect on the Indian stock market returns in the post-reform era. Till the late seventies, empirical studies provided ample evidence as to the informational efficiency of the capital markets advocating futility of information in consistently generating abnormal returns. However, later studies identified certain anomalies in the effic...