ISSN

2321-5763 (Online)
0976-495X (Print)


Author(s): T.G. Saji, S. Harikumar

Email(s): sajthazhungal@gmail.com , shari@cusat.ac.in

DOI: Not Available

Address: Dr. T.G. Saji and Dr. S. Harikumar
Faculty Member, Department of Commerce and Management Studies, Government College, Thrissur, Kerala, India – 680014
Professor of Economics, Department of Applied Economics, Cochin University of Science and Technology, Kerala, India
*Corresponding Author

Published In:   Volume - 4,      Issue - 1,     Year - 2013


ABSTRACT:
The absence of information efficiency in a market signals the possibility of abnormal returns to investors. Understanding the pattern of past price changes or assessing the strength of fundamentals can do this for investors.By using Indian data for the period of 2000-2010 this paper first explores the long run behavior of stock returns and then investigates the explanatory power of past price changes in predicting future asset returns. Binomial and Runs tests provide the conclusive evidence for the non-random behavior of stock returns. Auto Correlation Function and Ljung–Box Q-statistic find the forecasts of future returns based on simply extrapolating the historical stock prices are dubious.The findings of the study propose chances for investors in Indian market to earn extra returns by pursuing fundamental approach to stock valuation.


Cite this article:
T.G. Saji , S. Harikumar. Long run Behavior of Equity Returns: An Exploration of Indian Experience. Asian J. Management 4(1): Jan.-Mar. 2013 page 22-27.


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RNI: Not Available                     
DOI: 10.5958/2321-5763 


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