Profitability Of Price, Earnings And Revenue Momentum Strategies: The Indian Evidence

Momentum has remained an unsettled anomaly in finance. In this paper, we examine the profitability of univariate and multivariate sorted momentum strategies based on prior returns, earnings surprises and revenue surprises using the data for 493 companies that form part of Bombay Stock Exchange (BSE) 500 index in India from January 2002 to June 2010. Momentum profits are found to be persistent in the intermediate horizon (up to six months). Price momentum winners provide higher returns vis-à-vis earnings and revenue momentum winners. On long-short basis, earnings momentum strategy is most profitable. Earnings momentum is able to subsume price and revenue momentum. Further, the informational content of revenue surprises is incrementally very small. Triple sorted momentum portfolio using all the three criteria provides the highest return of 2.28% per month. The Capital Asset Pricing Model (CAPM) and the Fama-French model fail to explain these returns. The post-holding analysis reveals strong overreaction patterns for both winners as well as losers, thus, supporting the behavioural explanation. Momentum winners and losers perform better during market upturns. This study contributes to the asset pricing and behavioral finance literature especially for emerging markets such as India

Dying uterus, uterine artery ligation-a curse or a blessing? a rare case report

Uterine necrosis is a rare life-threatening condition reported in few case reports associated with uterine artery embolization for uterine fibroids or postpartum hemorrhage. We report a case of hemorrhagic uterine necrosis in a 22-year-old primipara day 4 post emergency caesarean section who presented with breathlessness, abdominal distension and severe anaemia. Patient underwent emergency exploratory laparotomy 2 hours after the caesarean section with intraoperative findings suggestive of rectus muscle hematoma, bilateral uterine artery ligation was done for atonic PPH. On clinical examination uterus was corresponding to 28-30 weeks gestation size with guarding and tenderness. Ultrasonography revealed bulky uterus. CT abdomen with pelvis with contrast was done with findings suggestive of hemorrhagic ischaemic myometrial necrosis. An emergency exploratory laparotomy was performed with intraoperative findings of uterus size of 30 weeks gestation with diffuse congestion, gangrene of bilateral tubes and ovaries. Obstetric hysterectomy with bilateral salpingo-oovarectomy was done. Patient was discharged on postoperative day 9. High index of clinical suspension, prompt CT imaging and exploratory laparotomy on time proved life-saving

`

617-625Bacterial wilt caused by Ralstonia solanacearum is the most devastating disease of tomato resulting in huge yield loss in commercial growing pockets of Himachal Pradesh, India. Cold tolerant strains of this pathogen evolved in the recent past, particularly pathotype IIB, are responsible for causing bacterial wilt in cold and temperate regions. High temperature and humidity favours the incidence of disease. Resistant genotypes have been developed at various research centers, located within the country and abroad but these genotypes were not found suitable for growing in Himachal Pradesh as these are lacking in one or other characteristics. Therefore, 18 bacterial wilt resistant F4 progenies of tomato were evaluated along with two bacterial wilt resistant checks to identify the most promising progenies on the basis of nature and extent of genetic variability and heritability coupled with genetic gain. To ascertain the variability source structure, computation of principal component analysis (PCA) was also done. Estimates for phenotypic coefficient of variation (PCV), genotypic coefficient of variation (GCV), heritability and genetic gain were found to be high for average fruit weight, total fruits per plant, marketable fruits per plant, marketable yield per plant, gross yield per plant and lycopene content that indicates the presence of sufficient variability ensuring ample scope for improvement through selection. High heritability allied with high genetic gain suggested the presence of additive gene action and thereby these traits could be considered as reliable indices for selection. For PCA studies, eigenvalues were calculated for 16 morphological traits and the results revealed that the initial eight traits exhibited more than 0.5 eigenvalues and above 95 per cent of genetic variability. Hence, these traits can be considered for effective selection of developing elite bacterial wilt resistant lines in tomato

Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, Beta Convergence, Sigma Convergence, Variance Ratio, Asymmetric DCC, Dynamic Cointegration, Market Synchronisation Measure and Common Components Approach. The results suggest that large sized EMU economies (termed as Group A) exhibit strong financial integration. Moderate financial integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from normal to crisis periods, which are specifically stronger for more integrated economies of Group A. We recommend institutional, regulatory and other policy reforms for Group B and especially Group C to achieve higher level of integration

Accruals and cash flows anomalies: evidence from Indian stock market

International audienc

Assessing Time-Varying Stock Market Integration in EMU for Normal and Crisis Periods

In this paper, we examine the financial integration process amongst 17 EMU countries from January 2002 to June 2013 over a normal period as well as for the Global Financial Crisis (GFC) and Eurozone Debt Crisis (EDC) periods. We classify the economies in three groups (A, B and C) based on their GDP to examine whether the economic size influences financial integration. Seven indicators are used for the purpose, namely, Beta Convergence, Sigma Convergence, Variance Ratio, Asymmetric DCC, Dynamic Cointegration, Market Synchronisation Measure and Common Components Approach. The results suggest that large sized EMU economies (termed as Group A) exhibit strong financial integration. Moderate financial integration is observed for middle-sized EMU economies with old membership (termed as Group B). Small sized economies (termed as Group C) economies seemed to be least integrated within the EMU stock market system. The findings further suggest presence of contagion effects as one moves from normal to crisis periods, which are specifically stronger for more integrated economies of Group A. We recommend institutional, regulatory and other policy reforms for Group B and especially Group C to achieve higher level of integration

Equity market anomalies in major European economies

This paper investigates five leading equity market anomalies – size, value, momentum, profitability, and asset growth, for four Western European markets, namely, Germany, France, Italy and Spain, from January 2002 to March 2018. The study tests whether these anomalies reverse under different macro-economic uncertainty conditions, and evaluates if strategies based on time diversification can be formed using these equity market anomalies. Market anomalies were tested using four major asset pricing models – the Capital Asset Pricing Model, the Fama-French three-factor model, the Carhart model, and the Fama-French five-factor model. Macro-economic uncertainty was tested using two proxies, namely VIX and default premiums. Time diversified strategies were examined by estimating Sharpe ratios of combined portfolios formed by combining winner univariate portfolios. Value effect in Germany, Size effect in France and Profitability effect in Italy and Spain provide the highest unadjusted returns on long side strategies. No significant reversal of these anomalies was found under different macroeconomic uncertainties. Asset pricing tests show that CAPM works well for Spain and Italy, while Carhart’s model explains returns in Germany. The Fama-French five factor model does not seem to be a good descriptor of asset pricing for data. No suitable model for explaining asset returns is identified for France. Finally, it is observed that some of the equity market anomalies seem to be countercyclical and therefore provide time diversification opportunities. The study has implications for academicians, investors, and policy makers by providing insights for developing profitable investment strategies and highlighting the efficacy of alternative models as performance benchmarks