Papers by Navdeep Aggarwal
Empirical financial research treats sources of information as an important determinant for select... more Empirical financial research treats sources of information as an important determinant for selection or purchase of financial services. Sources of information provide information for other selection factors and themselves acts as selection factors also. However the academic literature is very scanty with respect to insurance purchase or selection. This study presents the components of sources of information, which act as selection criteria for purchase of insurance. Primary data collected from 500 respondents, randomly selected from the cities under survey was used to assess the sources of information. Factor analytic technique using varimax rotation procedure resulted in three components namely: 'Literature and advertising'; 'Professional recommendations'; and 'Return performance'. Inferential statistics on Anderson Rubin (AR) factor scores depict the significant differences between various categories, grouped on the basis of demographic, economic and behavi...
Momentum strategy proposed by Jegadeesh and Titman (1993) and later improvised by Lee and Swamina... more Momentum strategy proposed by Jegadeesh and Titman (1993) and later improvised by Lee and Swaminathan (2000) through volume augmentation, has long been explored and tested across the world. However, the strong assumptions of zero transaction costs, freely available shorting of stocks, and infinite portfolio size restricted these researches only to academic world; a common investor remained devoid of any benefit from them. This research addressed the practical viability of the momentum strategy, both pure and volume augmented, from a small investor's point of view after incorporating all sorts of transaction costs and restrictions. Due to various restrictions and associated costs only long side of the momentum strategy was implemented for all 16 combinations of 3, 6, 9, and 12-month portfolio formation and portfolio holding periods. Returns were adjusted for risk under Fama-French (1993) conditions to arrive at the actual returns added by the strategy. Results prove that in India...
In this paper, we study the relevance of stock options open interest in conveying information abo... more In this paper, we study the relevance of stock options open interest in conveying information about the future price movements in the underlying stocks. This investigation has been carried out by using daily closing data of 26 stocks in the National Stock Exchange (NSE) derivatives segment for the period May 2007 to October 2008. The result proves that stock options open interest does contain valuable information about future price movements in the underlying stocks.
Journal of Management and Research, 2017
Empirical evidence on mutual fund performance has cited mainly two issues-measurement and persist... more Empirical evidence on mutual fund performance has cited mainly two issues-measurement and persistence. Very few studies have laid stress on studying the attributes of mutual fund performance, and especially in Indian context this is missing. The present study fills the gap in this direction and has assessed the performance attributes of the selected sample. In addition the study has also attempted to study the attributes among various categories of mutual funds. The study has focused on 110 well diversified equity growth schemes for the period 2011–15 and found the presence of significant and positive relative return, significant and positive selection effect, negative but non-significant asset allocation effect using Brinson Hood Beebower model (Brinson et al., 1991). Significant differences have been found with respect to relative return, selection effect and asset allocation effect among various groups of mutual funds, categorized on different parameters.
Journal of Management and Research, 2014
Renaming of stock corresponds to creation of a new name with the intention of developing a differ... more Renaming of stock corresponds to creation of a new name with the intention of developing a differentiated position in the mind of investors. Stock renaming, although, commonly referred to in financial press and periodically posted on stock exchange websites, has received little attention from academia especially in Indian context. We aim to fill this gap by analysing the impact of corporate name change on shareholder's wealth, using event study methodology. We focus on firms listed on National Stock Exchange and Bombay Stock Exchange, who have made stock name change announcements in the period starting from 1 April 2010 to 31 March 2012. We sampled 55 stock name change announcements and further categorized them into large cap, mid cap, and small cap stocks. We found no evidence of significant abnormal returns or significant cumulative abnormal returns in the event period (e-5, e, e+5) for large cap and mid cap stocks. We do find evidence of significant positive cumulative abnorm...
Recommending a stock corresponds to providing investors with information and insights into partic... more Recommending a stock corresponds to providing investors with information and insights into particular companies they follow with the intention of guiding them for taking relevant investment decisions. This paper aims to analyse the impact of stock 'buy' recommendation from reputed foreign brokerage houses on stocks' return, using event study methodology. The study focused on 100 firms listed on National Stock Exchange and Bombay Stock Exchange, which have been recommended till March 31, 2015. The sampled stocks were further categorized into large cap, mid cap, and small cap stocks. With reference to buy recommendation, the impact of event study on average abnormal return was found to be positive and significant in post event period for stocks over all market capitalization. In terms of cumulative average abnormal returns, impact of 'buy' recommendation was found to be negative but insignificant for large cap and mid cap stocks but positive and significant for sma...
The flexibility and cash outflow certainties make option contracts one of the most favored instru... more The flexibility and cash outflow certainties make option contracts one of the most favored instruments for hedging purposes. Among various option-based strategies, protective put and covered call have been very popular. However, not much work has been carried out to check the relative hedging performance of covered call and protective put strategies. Moreover, research has remained largely limited to developed markets. This study compares the hedging performance of covered call and protective put strategies by utilizing total returns index for S&P CNX Nifty as a stock portfolio and hedging the same through options available on S&P CNX Nifty. It was found that both covered call and protective strategies could outperform a simple buy and hold portfolio on risk adjusted basis. Specifically, portfolio with 5% ITM short call and portfolio with 2% ITM long put had superior performance. On comparison, protective put strategy outperforms the covered call strategy both in terms of hedging ef...
Cotton contamination is a serious problem and needs to be strongly tackled to remain competitive ... more Cotton contamination is a serious problem and needs to be strongly tackled to remain competitive in the world textile market. Ginning and pressing are the two important stages where contamination needs to be checked and can be efficiently controlled. This study attempts to find the perception and practices of cotton ginners towards cotton contamination. It is conducted in two important cotton growing areas of Punjab. Perception and practices with respect to both general and specialized contamination practices, types of cotton contaminants, causes of cotton contamination and general opinion regarding cotton contamination have been studied in detail. Further attempt is also made to study the difference between small and large spinners on these aspects.
The study was carried out to analyze the performance of long collar strategy on equity index base... more The study was carried out to analyze the performance of long collar strategy on equity index based exchange traded fund namely Nifty Bees. The long collar strategy was applied by using put and call options available on S & P CNX Nifty. Using different combinations of moneyness and maturity of the options along with a long position in the ETF, returns were calculated on monthly basis for period from 1st January 2006 to 31st August 2011. The result shows that the long collar strategy, in all combinations of moneyness and maturity, outperforms the simple buy and hold strategy on risk adjusted basis.
The motivation behind this paper was to see if financial statement analysis could be employed by ... more The motivation behind this paper was to see if financial statement analysis could be employed by investors to design portfolios of low book-to-market stocks that could help them earn excess returns in the Indian context. Using a modified framework from Mohanram (2005), which employs a G_SCORE, capable of separating ex post winners from losers among low book-to-market companies, and portfolio formation on the basis of the G_SCORE, we find convincing evidence that financial statement analysis can help investors form profitable portfolios among low book-to-market stocks. We show that portfolios with high G_SCORE (6 to 7) provide outstanding returns both on absolute and risk-adjusted basis and far outperform the markets. At the same time, portfolios with low G_SCORE (0 to 3) offer very poor returns and always under-perform the markets on both absolute and risk-adjusted returns. Thus a growth investor could shift his distribution of returns rightwards by investing in portfolios of only h...
Asia-Pacific Financial Markets
Asia-Pacific Journal of Management Research and Innovation
Asia-Pacific Journal of Management Research and Innovation
Asia Pacific Business Review
ABSTRACT
Indian Journal of Economics and Development
Indian Journal of Economics and Development
South Asian Journal of Management, 2005
Journal of Management Research, 2013
Indian Journal of Economics and Development, 2013
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Papers by Navdeep Aggarwal