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Can portfolio returns exceed market return? An examination of the efficient market hypothesis for the Indian stock market

Author

Listed:
  • Tamal Datta CHAUDHURI
  • Gulshan Kaur BHAMRAH

    (India)

Abstract

The paper explores the possibility of forming portfolio of stocks that can generate returns higher than the market over a time period. Various principles are used for portfolio formation in the year 2013, and it is examined whether such portfolios have been able to generate excess returns over the next five years. Data has been used for Indian companies which are listed in the National Stock Exchange and Bombay Stock Exchange. Further, our sample consist of companies that have in operation over this period, have earned profits each year, and have consistently paid dividends in each of the years. The period under consideration has seen upswings and downswings, and it is our interest to explore whether our portfolios have been able to generate excess returns. Our results provide interesting insight into portfolio formation and also structuring of mutual funds.

Suggested Citation

  • Tamal Datta CHAUDHURI & Gulshan Kaur BHAMRAH, 2019. "Can portfolio returns exceed market return? An examination of the efficient market hypothesis for the Indian stock market," Journal of Economics Library, EconSciences Journals, vol. 6(3), pages 159-167, September.
    • Handle: RePEc:cvv:journ5:v:6:y:2019:i:3:p:159-167
    as

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    References listed on IDEAS

    as
    1. Black, Fischer & Scholes, Myron, 1974. "The effects of dividend yield and dividend policy on common stock prices and returns," Journal of Financial Economics, Elsevier, vol. 1(1), pages 1-22, May.
    2. repec:bla:jfinan:v:44:y:1989:i:1:p:135-48 is not listed on IDEAS
    3. Fama, Eugene F & French, Kenneth R, 1995. "Size and Book-to-Market Factors in Earnings and Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 131-155, March.
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    More about this item

    Keywords

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    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage

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