Stock Market Anomalies in Emerging Markets: A Case of India

Stock market anomalies are referred to as disruptions of the Efficient market hypothesis, which impacts the direction of the stock’s performance, causing abnormal returns to the market’s participants. Therefore, determination of anomalies is essential, following which the objective of this paper is to explore such market inefficiency variables in emerging markets that are reliably present in developed markets. This paper provides a unique, comprehensive study of different anomalies in emerging markets; with an example of the Indian market, we cover a range of different firm-specific variables. Using past 20 years of monthly and daily data from 2000 to 2020 and 12 market anomalies grouped within eight different groups, we use portfolio sorting to create three sub-portfolios based on every anomaly individually and their high minus low portfolios to check their significance. Following, we also use two-stage Fama MacBeth regressions to support our portfolio sorting results. The findings of this paper focus on two horizons; 1-month and a more extended period focusing on 3 and 6 months, where portfolios are held monthly, quarterly and semester basis respectively. In India, for 1-month, out of 12 anomalies, only 5 predicts returns: size, book-to-market, the coexistence of momentum and reversal, and asset growth. Whereas, for long term holding periods, the coexistence of momentum and reversal continued to be present, with idiosyncratic volatility becoming a significant predictor of returns in longer period horizons. The coexistence of momentum and reversal in the Indian market for 1-month is similar to developed markets; however, continued coexistence in extended holding period returns is an exciting observation found in our research. Moreover, it is also important to note that these findings are limited to inclusion securities present in the market index and whose data is available for the whole sample period. Nevertheless, this study provides recommendations on which anomaly an investor should focus on to form portfolios and gain abnormal, anomalous returns in emerging markets

Stock Market Anomalies in Emerging Markets: A Case of India

Stock market anomalies are referred to as disruptions of the Efficient market hypothesis, which impacts the direction of the stock’s performance, causing abnormal returns to the market’s participants. Therefore, determination of anomalies is essential, following which the objective of this paper is to explore such market inefficiency variables in emerging markets that are reliably present in developed markets. This paper provides a unique, comprehensive study of different anomalies in emerging markets; with an example of the Indian market, we cover a range of different firm-specific variables. Using past 20 years of monthly and daily data from 2000 to 2020 and 12 market anomalies grouped within eight different groups, we use portfolio sorting to create three sub-portfolios based on every anomaly individually and their high minus low portfolios to check their significance. Following, we also use two-stage Fama MacBeth regressions to support our portfolio sorting results. The findings of this paper focus on two horizons; 1-month and a more extended period focusing on 3 and 6 months, where portfolios are held monthly, quarterly and semester basis respectively. In India, for 1-month, out of 12 anomalies, only 5 predicts returns: size, book-to-market, the coexistence of momentum and reversal, and asset growth. Whereas, for long term holding periods, the coexistence of momentum and reversal continued to be present, with idiosyncratic volatility becoming a significant predictor of returns in longer period horizons. The coexistence of momentum and reversal in the Indian market for 1-month is similar to developed markets; however, continued coexistence in extended holding period returns is an exciting observation found in our research. Moreover, it is also important to note that these findings are limited to inclusion securities present in the market index and whose data is available for the whole sample period. Nevertheless, this study provides recommendations on which anomaly an investor should focus on to form portfolios and gain abnormal, anomalous returns in emerging markets

Does Dose Volume Histogram of Parotid Glands Correlate with Xerostomia Radiation Therapy Oncology Group Scores in Locoregionally Advanced Head and Neck Cancer Patients Treated with Intensity-Modulated Radiation Therapy?

Introduction Xerostomia is an imminent complication of head and neck radiotherapy best assessed subjectively. This study aimed to evaluate the effects of sparing parotid glands with intensity-modulated radiation therapy (IMRT) on subjective xerostomia scores in patients with locoregionally advanced head and neck cancer. Subjects and Methods This is a prospective longitudinal study conducted in an outpatient department setting. A total of 43 patients with head and neck cancer were planned with IMRT as per the ICRU 62 (International Commission on Radiation Units and Measurement Report 62). The constraints to ipsilateral and contralateral parotid glands were 35 and 25 Gy, respectively. Treatment plan was assessed for doses to 100, 67, 50, and 33% volume of individual parotid glands. Patients were subjectively assessed using the Amosson’s Questionnaire and graded as per Eisbruch’s xerostomia Radiation Therapy Oncology Group scores. Dose volume histogram (DVH) was plotted and correlated with grades of xerostomia postradiation at 1, 3, 6, 9 and 12 months follow-ups. Statistical analysis was performed suing SPSS version 16, chi-square test, and one-way analysis of variance test. Results No statistically significant correlation between mean dose of radiation, volume of the parotid glands, and grades of xerostomia was noted postradiation. A statistically significant improvement in grades of xerostomia between 3 and 6 months (p = 0.0), 3 and 9 months (p = 0.020), 6 and 9 months (p = 0.009), 6 and 12 months (p = 0.05), and 9 and 12 months (p = 0.00) was noted. Recovery in grades was noted at 9 months. Conclusion There is no statistically significant direct correlation between DVH of the parotid glands and grades of xerostomia, although recovery in grades was statistically significant at 9 months