G. ArunKumar

Indian Institute of Technology (IIT), Madras

Sardar Patel Road

Guindy

Chennai, TN Tamil Nadu 600036

India

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 25,887

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Top 25,887

in Total Papers Downloads

1,783

CITATIONS

2

Scholarly Papers (8)

1.

Stock Market Reaction and Liquidity Changes Around Bonus Issue Announcement: Evidence from India

10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 12 Posted: 13 Feb 2007
Madhuri Malhotra, M. Thenmozhi and G. ArunKumar
Indian Institute of Technology (IIT), Madras, Indian Institute of Technology Madras and Indian Institute of Technology (IIT), Madras
Downloads 1,003 (21,376)

Abstract:

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Event study, Stock dividend, Liquidity, Stock market, Cross Sectional Regression

2.

Asset Pricing and Optimal Portfolio Choice in the Presence of Human Capital

10th Capital Markets Conference, Indian Institute of Capital Markets Paper
Number of pages: 11 Posted: 16 Feb 2007
Indian Institute of Technology (IIT), Madras, Indian Institute of Technology (IIT), Madras and Indian Institute of Technology (IIT), Madras
Downloads 267 (113,396)

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Capital Asset Pricing Model (CAPM), Intertemporal Capital Asset Pricing (ICAPM), Equilibrium Multifactor model, Human capital, VAR estimates, Granger Causality/Block Exogeneity Wald Tests, Seemingly Unrelated Regression Estimation (SURE), Impulse Response Functions (IRF)

3.

Human Capital and Predictable Stock Returns: A Dynamic Asset Pricing Approach

Number of pages: 19 Posted: 27 Aug 2007
Indian Institute of Technology (IIT), Madras, Indian Institute of Technology (IIT), Madras and Indian Institute of Technology (IIT), Madras
Downloads 138 (207,804)

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Human Capital, Asset Prising, Size, Value, Market Risk

4.

Do Intraday Volatility Patterns Follow a ā€˜Uā€™ Curve? Evidence from the Indian Market

Number of pages: 17 Posted: 01 May 2013
Aravind Sampath and G. ArunKumar
Indian Institute of Technology (IIT), Madras - Department of Management Studies and Indian Institute of Technology (IIT), Madras
Downloads 137 (209,081)
Citation 1

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Tick by tick index returns, Variability Parameter, Variability Ratio, Variability Patterns

5.

Evidence on Changes in Time Varying Volatility Around Bonus and Rights Issue Announcements

International Journal of Emerging Markets, Forthcoming
Number of pages: 27 Posted: 22 Nov 2011
Madhuri Malhotra, M. Thenmozhi and G. ArunKumar
Loyola Institute of Business Administration, Indian Institute of Technology Madras and Indian Institute of Technology (IIT), Madras
Downloads 113 (241,962)

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Bonus issue, rights Issue, volatility, ARCH, GARCH (1, 1), Indian stock market

6.

Evidence on Changes in Stock Prices and Liquidity Around Rights Issue Announcement: Industry Specific Analysis

International Journal of Business Insights and Transformation Volume 5 Issue 2 (April 2012-September 12)
Number of pages: 31 Posted: 04 Mar 2015
Madhuri Malhotra, M. Thenmozhi and G. ArunKumar
Loyola Institute of Business Administration, Indian Institute of Technology Madras and Indian Institute of Technology (IIT), Madras
Downloads 81 (301,025)

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Event study, Rights Issue, Stock Return, Liquidity, Market Depth, Market Efficiency, Signaling hypothesis, Industry Effect.

7.

Sector Index: Do They Tell the Right Story?

XI Capital Markets Conference, 21-22 December 2012, Indian Institute of Capital Markets (UTIICM)
Number of pages: 21 Posted: 02 May 2013
Vignesh Janakiraman and G. ArunKumar
IITM and Indian Institute of Technology (IIT), Madras
Downloads 44 (406,876)

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Sector Index, Cointegration, Long Term Relationship, Alternative Index Construction Methods a Research

8.

Factors Influencing Abnormal Returns Around Bonus and Rights Issue Announcement

The IUP Journal of Applied Finance, Vol. 19, No. 4, October 2013, pp. 41-60
Posted: 03 Jun 2014
Madhuri Malhotra, M. Thenmozhi and G. ArunKumar
Loyola Institute of Business Administration, Indian Institute of Technology Madras and Indian Institute of Technology (IIT), Madras

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