A Time-Varying Study of Fundamental values relative to the share price and Solvency and Liquidity on Stock Returns in India-Reference-Cited by-同舟云学术

A Time-Varying Study of Fundamental values relative to the share price and Solvency and Liquidity on Stock Returns in India

Published:2023-02-01 Issue: Volume: Page:
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Author:

Wagle Namrata¹^ORCID,Khanapuri Harip²

Affiliation:

1. Shrinivassa Sinai Dempo College of Commerce and Economics

2. Goa University

Abstract

Abstract This research investigates the relationship between firm-specific style attributes and the cross-section of equity returns on the National Stock Exchange in India over the period from March 2001 to March 2021. The linear expected returns forecasting model is constructed based on the cross-section of equity returns. The model identifies the Cash Flow to Current Liabilities Ratio and the Current Ratio as significant style attributes that distinguish future share returns on the NSE. The results of the research provide potential alpha-generating stock selection techniques for active portfolio managers in the Indian stock markets using the linear approach.

Publisher

Research Square Platform LLC

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