Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/245206 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Publisher:] Taylor & Francis [Place:] Abingdon [Year:] 2019 [Pages:] 1-17
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Using Indian bank-level data, we examine the cross-sectional returns predictability for banking stocks in view of the distinct industry parameters prevalent in the financial services space. We find the existence of abnormal returns in banking stocks. We also observe that the celebrated Fama-French (1992) 3-factor model could not explain the abnormal returns, primarily due to very high leveraged banks' balance sheets. Thus, we extend the Fama-French 3-factor model and Carhart 4-factor model alongside bank-specific conditioning information in the form of asset quality variables, operational efficiency variables and solvency variables to articulate the existence of abnormal returns. With the inclusion of conditioning information, the study predictability of abnormal returns improved significantly.
Subjects: 
Asset pricing
banking stock returns
conditioning information
investment strategies
JEL: 
G11
G12
G14
G21
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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