Papers by debasish majumder
After 2003, the growth of equity prices in emerging markets in Asia, Latin America and Europe has... more After 2003, the growth of equity prices in emerging markets in Asia, Latin America and Europe has been considerably higher in comparison with developed markets and, therefore, these markets have become the focus of attention of investors, the financial press, and researchers. These markets are needed to be studied separately because features of these markets are different from a developed market: on the one hand, they are hypersensitive to investors' sentiments and, on the other, equity returns are predictable by past observations. Unfortunately, common asset pricing models cannot explain such predictability in stock returns. The factor which is responsible for such predictability and hence the nonrandom behavior of the stock return can be accounted for in an asset pricing model. Based on this observation, the present paper proposes a generalization of the conventional asset pricing model. However, the framework would be applicable to all types of markets ranging from strictly efficient to inefficient.
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Papers by debasish majumder