| Abstract |
The current research intends to investigate the asset pricing behaviour of the Indian market, during the last 30 years. However, despite the long history of the active financial markets in India going back into the 70s, the availability of firm-level financial data of firms is limited to the last 20 years. This severely limits investigation into several aspects of the behaviour of the financial markets, including estimation of the size premium, which requires a long time series data for reliable and robust interpretation of the results.
Hence, we intend to develop a database of firm-level financial data during the 1981-90 period from the official quotations of the Bombay Stock Exchange published over time, to facilitate the study. All the other required data, including prices are already available at Indian Institute of Management, Ahmedabad.
The results of the study could lead to the publication of a research paper on the behaviour of the size premium over time and the determinants of the size premium in the Indian market.
|