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Value Premium in Indian Equity Market : An Empirical Evidence. (With Abstract)

By:

Soumya Guha Deb

Material type: Article

ArticleLanguage: ENG Series: ; 12Publication details: Dec 2006 0Edition: 12Description: 41-60 PpSubject(s):

Value Strategy, Indian Stock Market

DDC classification:

Online resources:

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Summary: For many years researchers have argued that "value strategies" outperform `growth strategies'. This paper attempts to explore this possibility in the Indian stock market and find the magnitude and pattern of value premium, if any. The data of stocks from 1990 to 2005 shows that value premium did exist in the Indian stock market, particularly during the second half (1997-2005) of the study period. This premium is considerable over a shorter holding period and gradually declines over a longer holding period. The study found some supporting evidence while exploring whether the value stocks were riskier to justify this premium. It also discovered that the premium persists even after controlling the risk factor.

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For many years researchers have argued that "value strategies" outperform `growth strategies'. This paper attempts to explore this possibility in the Indian stock market and find the magnitude and pattern of value premium, if any. The data of stocks from 1990 to 2005 shows that value premium did exist in the Indian stock market, particularly during the second half (1997-2005) of the study period. This premium is considerable over a shorter holding period and gradually declines over a longer holding period. The study found some supporting evidence while exploring whether the value stocks were riskier to justify this premium. It also discovered that the premium persists even after controlling the risk factor.

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