Explaining Size Effect for Indian Stock Market

Using data for BSE 500 companies from October 2003 to January 2015, we confirm the presence of strong size effect in Indian stock market. Controlling for penny stocks, we find that returns decrease almost monotonically with firm size. The findings are robust for alternative size measures, i.e. market capitalization, total assets, net fixed assets, net working capital, net sales and enterprise value. We find the presence of non-synchronous trading bias and reverse seasonality effect. It is observed that market, size, value and business cycle factors explain size effect while liquidity and momentum factors have little role in this process. Thus, rational sources explain the size anomaly in the Indian context.     

Relative consumption benchmarks

I construct a general, multi-good model of consumption externalities that allows for relative jealousies and relative keeping-up-with-the-Joneses effects. These relative social consumption contexts have the ability to reinforce or mitigate each other.     

Does the price of crude oil respond to macroeconomic news?

In a recent study, Kilian L. and Vega C. (2011) indicate that the daily price of crude oil is mostly unresponsive to macroeconomic news, and at times exhibits response‐coefficients that are counterintuitive. The authors conclude that the price of crude oil is predetermined to macro aggregates, and hence determined in a flow demand/supply framework. We make the argument that inferences on commodity price determination should be drawn from news responses only after the standard tests are subject to inventory (or stock) controls. Using daily and intraday price data and proxies for inventory levels, we reexamine the responsiveness of crude prices to macroeconomic news. Our evidence suggests a very limited role for stock levels in the responsiveness of crude oil. The prior conclusion that crude oil is priced primarily in a flow‐environment is supported by our data. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 32:536–559, 2012