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ARPN Journal of Science and Technology >> Volume 7, Issue 1, January 2017

ARPN Journal of Science and Technology


Is the Equity Profile in India Flat: Statistical Evidence

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Author Amaresh Das
ISSN 2225-7217
On Pages 276-282
Volume No. 2
Issue No. 4
Issue Date May 01, 2012
Publishing Date May 01, 2012
Keywords Stochastic dominance, Vector Autoregressive (VAR) representation, Sharpe ratio, Akaike Information Criterion (AIC)



Abstract

The paper econometrically estimate investors’ optimal portfolios are independent of their investment horizon. When ex ante diversification is investigated there appears to be no evidence of increased demand for equity over a longer investment horizons in India. That is, in India we obtain a flat equity profile over the investment horizons. Therefore, the mean-aversion in fixed-income explains the time diversification effect. The results also indicate that cross- correlation amongst asset returns do not seem to play any role in time diversification either.


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