Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/270006 
Year of Publication: 
2020
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 8 [Issue:] 1 [Article No.:] 1838694 [Year:] 2020 [Pages:] 1-12
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
Portfolios of companies with high book-to-market (BTM) ratio (low Price-To-Book (PB) ratios, Value firms) outperform those with companies with low BTM ratio (high PB ratios, Growth firms). In literature, this is known as the Value Anomaly. This anomaly is related to the third factor in the three-factor model of Fama and French, and is commonly used to explain the cross section of returns. Studies on the Value Anomaly in the Indian Stock Markets have yielded mixed results. Using a longer span of data and a larger set of companies, this study explores and observes the Value Anomaly in the Indian Stock Market. The contribution of size and systematic risk towards the behaviour of the Value Anomaly is studied. We observe that Value Anomaly exists in India, but with growth portfolios outperforming value. A critical analysis reveals possible linkages to firm size.
Subjects: 
beta
growth stock
size adjusted returns
value anomaly
JEL: 
G12
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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