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

Characteristics of Green Concrete with Industrial Wastes as Replacement of Fine and Coarse Aggregate

Waste generated due to various industrial activities are dumped as landfill posing serious environmental complications. Pollution control due to industrial waste has become one of concern across the globe. This study discusses foundry sand and coconut shell, two byproducts of the manufacturing and agriculture sectors. The most efficient use of these components is to include them into the concrete itself, either as a partial substitute for fine aggregate or coarse aggregate, or both. Durability tests were conducted on concrete samples with the replacement percentages determined to be optimal on the basis of mechanical characteristics. According to the findings, foundry sand may be utilised as a fine aggregate replacement in concrete, while coconut shell can be used as a coarse aggregate replacement without impacting its strength or durability

Volatility effect and the Role of Firm Quality Factor in Returns: Evidence from the Indian Stock Market

In the study, we examine if there are any volatility patterns in stock returns for India. Data are employed for 493 companies that form part of BSE 500 index from March 2000 to November 2013. Unlike previous international evidence, no volatility anomaly is observed. Consistent with theory, high volatility stocks significantly outperform low volatility stocks. Alternative risk models fail to explain the volatility effect. Consistent with prior research, we confirm the role of firm quality factor in explaining these volatility patterns. Cash flow variability seems to be a more appropriate measure of firm quality compared to profitability

Characteristics of Green Concrete with Industrial Wastes as Replacement of Fine and Coarse Aggregate

Waste generated due to various industrial activities are dumped as landfill posing serious environmental complications. Pollution control due to industrial waste has become one of concern across the globe. This study discusses foundry sand and coconut shell, two byproducts of the manufacturing and agriculture sectors. The most efficient use of these components is to include them into the concrete itself, either as a partial substitute for fine aggregate or coarse aggregate, or both. Durability tests were conducted on concrete samples with the replacement percentages determined to be optimal on the basis of mechanical characteristics. According to the findings, foundry sand may be utilised as a fine aggregate replacement in concrete, while coconut shell can be used as a coarse aggregate replacement without impacting its strength or durability