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Stattman, D. (1980) Book Values and Stock Returns. The Chicago MBA: A Journal of Selected Papers, 4, 25-45.

has been cited by the following article:

  • TITLE: Strategic Risk Factors for Indian Stock Markets

    AUTHORS: Aman Srivastava, Prashant Gupta, Rakesh Gupta

    KEYWORDS: Systematic Risk Factors, Stock Market, Security Return, Macroeconomic Factors

    JOURNAL NAME: Theoretical Economics Letters, Vol.7 No.6, September 30, 2017

    ABSTRACT: The present study intends to find out the strategic risk factors and their influence on the Indian capital market (stock market) by using monthly time series data from April 1999 to March 2015. It used factor analysis, lag length analysis, break point test, unit root test and Johansen conintegration analysis. Results show that global financial markets, price-earnings ratio, inflation, industrial production, forex rate and dividend yield have significant impact on Indian stock markets. The short run analysis suggests that Indian stock prices are adjusted monthly by its previous month levels as well as previous month’s global stock markets and consumer price index (inflation) in short run (monthly) basis. The study concludes that in long run global financial markets, price-earnings ratio, inflation, industrial production, forex rate and dividend yield acts as source of systematic risk factor for Indian stock markets while in short run previous levels of stock market and inflation acts as systematic risk factor for Indian stock markets.