Time-Varying Macroeconomic Exposures in the Indian Stock Market
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초록
We analyze the Indian Stock Market by introducing a new way of incorporating macroeconomic risks into multifactor models. We demonstrate the validity of our method by developing a large-scale, dynamic and multifactor model. Our model generates several notable findings about the Indian Stock Market. Macro factors generate larger co-movements in equity markets, but are lower priced than accounting and mechanical factors. High-priced factors are those related to term-premium changes, valuation (book-to-market ratio, PE ratio and dividend yield), market liquidity, balance-sheet liquidity (internal capital and leverage) and growth (ROE and earnings growth). However, other macro factors and some fundamental and mechanical factors, such as size, volatility and momentum, are lower priced.
Abstract
We analyze the Indian Stock Market by introducing a new way of incorporating macroeconomic risks into multifactor models. We demonstrate the validity of our method by developing a large-scale, dynamic and multifactor model. Our model generates several notable findings about the Indian Stock Market. Macro factors generate larger co-movements in equity markets, but are lower priced than accounting and mechanical factors. High-priced factors are those related to term-premium changes, valuation (book-to-market ratio, PE ratio and dividend yield), market liquidity, balance-sheet liquidity (internal capital and leverage) and growth (ROE and earnings growth). However, other macro factors and some fundamental and mechanical factors, such as size, volatility and momentum, are lower priced.
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