Research & Development Premium in the Indian Equity Market: An Empirical Study

Autor:	Srikanth P, Bhumiswor Sharma
Rok vydání:	2021
Předmět:	Empirical research Financial economics Value premium Economics Capital asset pricing model Profitability index Trading strategy Risk factor (finance) Development Investment (macroeconomics) Emerging markets General Economics Econometrics and Finance General Business Management and Accounting
Zdroj:	Asian Economic and Financial Review. 11:816-828
ISSN:	2222-6737 2305-2147
DOI:	10.18488/journal.aefr.2021.1110.816.828
Popis:	This article aims to investigate the research and development (R&D) premium and explore the three most prominent asset pricing models: capital asset pricing and the three-and five-factor models (Fama & French, 1993; 2015). The results show that India's annualized average R&D premium is significantly higher than the existing value, market, profitability, size and investment premiums, implying that the R&D premium is a more significant concern for Indian investors, particularly for high R&D firms. It was also observed that by applying the GRS test and the Fama and MacBeth (1973) two-pass procedure, the R&D risk factor augmented the CAPM, FF3F and FF5F models outperforming the existing CAPM, FF3F and FF5F models, respectively. We can also report that R&D is, unquestionably, a priced ingredient and a critical factor in developing pricing models for developing markets such as India. The paper's conclusions add to the current literature in R&D and asset pricing and assist investment professionals in developing better investment and trading strategies.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::6b204cc41177c1ca9a180b6c8ad9cb24 https://doi.org/10.18488/journal.aefr.2021.1110.816.828 Zobrazit plný text záznamu