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Excess Returns with Black Swan Investing on the Indian Stock Market

Nihlén, Jonas LU and Malm, Jakob LU (2014) NEKN05 20141
Department of Economics
Abstract
Previous studies have shown a significant relation between the beta value and return of a stock. In our study we show that excess returns on the National Stock Exchange in India can be obtained by using a Black-Swan investment strategy, with beta as a portfolio- building tool. A Black Swan is an unpredicted event that causes major market fluctuations. Observing daily return movements on the CNX Nifty index in India, we implement and evaluate our strategy looking at three different definitions of Black Swans, a daily increase/decrease of ± 4%, 5% and 6%, respectively. The investment strategy yields up to 558% excess returns to the index, a result we have not seen in previous studies.
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author
Nihlén, Jonas LU and Malm, Jakob LU
supervisor
organization
course
NEKN05 20141
year
type
H1 - Master's Degree (One Year)
subject
keywords
Black Swan, Mean Reversion, Beta, Excess Returns, Emerging Markets, India
language
English
id
4462679
date added to LUP
2014-06-26 15:02:30
date last changed
2014-06-26 15:02:30
@misc{4462679,
  abstract     = {{Previous studies have shown a significant relation between the beta value and return of a stock. In our study we show that excess returns on the National Stock Exchange in India can be obtained by using a Black-Swan investment strategy, with beta as a portfolio- building tool. A Black Swan is an unpredicted event that causes major market fluctuations. Observing daily return movements on the CNX Nifty index in India, we implement and evaluate our strategy looking at three different definitions of Black Swans, a daily increase/decrease of ± 4%, 5% and 6%, respectively. The investment strategy yields up to 558% excess returns to the index, a result we have not seen in previous studies.}},
  author       = {{Nihlén, Jonas and Malm, Jakob}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Excess Returns with Black Swan Investing on the Indian Stock Market}},
  year         = {{2014}},
}