Cross-sectional Return Predictability in Indian Stock Market: An Empirical Investigation

G. Goswami
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Abstract

This paper provides a comprehensive analysis of stock return predictability in the Indian stock market by employing both the portfolio and cross-sectional regressions methods using the data from January 1994 and ending in December 2018. We find strong predictive power of size, cash-flow-to-price ratio, momentum and short-term-reversal, and in some cases of book-to-market-ratio, price-earnings-ratio. The total volatility, idiosyncratic volatility, and beta are not consistent stock return predictors in the Indian stock market. In cross-sectional regression analysis, size, short-term reversal, momentum, and cash-flow-to-price ratio predict the future stock returns. Overall, the two variables momentum and cash flow to price ratio demonstrate reliable forecasting power under all methods and both small and large size samples.
印度股票市场横截面收益可预测性的实证研究
本文利用1994年1月至2018年12月的数据,采用组合回归和横截面回归方法,对印度股市的股票收益可预测性进行了全面分析。我们发现规模、现金流价格比、动量和短期反转,以及在某些情况下的账面市值比、市盈率具有很强的预测能力。总波动率、特殊波动率和贝塔系数在印度股市中不是一致的股票收益预测指标。在横断面回归分析中,规模、短期反转、动量和现金流价格比预测未来股票收益。总体而言,动量和现金流价格比这两个变量在所有方法下以及在小样本和大样本下都表现出可靠的预测能力。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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