Equity Risk Premium in India: Comparative Estimates from Historical Returns, Dividend and Earnings Models
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GANGOPADHYAY, SHUBHASIS JOURNAL OF EMERGING MARKET FINANCESummary: The article compares efficiencies of dividend and earnings growth models with historical model in predicting the unconditional expected equity risk premium (ERP) in addition to analysing the impact of recession. The exercise is undertaken employing two different Indian capital market indices, NIFTY500 and SENSEX. The study period is 20 years (1997–2016) with pre- and post-recession periods as 2001–2008 and 2009–2016, respectively. The dividend growth model emerges as the most efficient model for predicting ERP while highlighting that Indian firms follow stable dividend policy. NIFTY500 index with a wider base proves to be a superior benchmark for market returns over SENSEX comprising 30 blue-chip firms.
| Item type | Current library | Call number | Vol info | Status | Notes | Date due | Barcode | Item holds | |
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Journal Article
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Main Library | Vol 17, No. 1S/ 5558803JA6 (Browse shelf(Opens below)) | Available | 5558803JA6 | |||||
Journals and Periodicals
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Main Library On Display | JOURNAL/FIN/Vol 17, No. 1S/5558803 (Browse shelf(Opens below)) | Vol 17, No. 1S (14/05/2018) | Not For Loan | Journal of Emerging Market Finance - April 2018 - 1S | 5558803 |
The article compares efficiencies of dividend and earnings growth models with historical model in predicting the unconditional expected equity risk premium (ERP) in addition to analysing the impact of recession. The exercise is undertaken employing two different Indian capital market indices, NIFTY500 and SENSEX. The study period is 20 years (1997–2016) with pre- and post-recession periods as 2001–2008 and 2009–2016, respectively. The dividend growth model emerges as the most efficient model for predicting ERP while highlighting that Indian firms follow stable dividend policy. NIFTY500 index with a wider base proves to be a superior benchmark for market returns over SENSEX comprising 30 blue-chip firms.
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