Joshy Jacob

Educational Qualifications

• FPM, Indian Institute of Management, Lucknow (2008)
• Academic Affiliation

Professional Affiliation

Member, Financial Management Association

Area of Research:

• Pricing of financial assets
• Influence of behavioral issues in asset returns and corporate finance
• Corporate finance issues in emerging markets
  

Current Research:

• Volatility and market microstructure (with Vipul)
• Behaviour and Pricing Idiosyncratic Volatility
• Systematic Risk Factors in the Indian Financial Markets (with Sobhesh K. Aggarwalla & Jayanth R. Varma)
• IPO Underpricing in India (Sobhesh K. Aggarwala)

Publications/Articles/Cases:

Peer-Reviewed Journals:

• Forecasting Performance of Extreme-Value Volatility Estimators, Journal of Futures Markets, 27, p1085-1105, with Vipul.
• Stock Volatility Estimation and Forecasting with Range-Based Estimators, Journal of Futures Markets, 28, p561-581, with Vipul.
• Default Risk Characteristics of Poll-Based Bond Spreads, Forthcoming, Journal of Emerging Market Finance, with M. Jayadev
• Economic Slowdown and Indian Firms: An Overview, Vikalpa, 34, p59-66, with Prem Chander.

Conferences:

• Value of Alternative Volatility Estimators for Investment Portfolio Strategies, European Financial Management Association (EFMA), Conference, Milan, June 2009, with Vipul.
• Credit Spreads of Indian Corporate Bonds: Empirical Analysis, Financial Management Association (FMA), Asian Conference, Auckland, New Zealand, July, 2006, with M. Jayadev.
• Stock Volatility Estimation and Forecasting with Range-Based Estimators, 4th Annual Conference of the Asia-Pacific Association of Derivatives (APAD), New Delhi, June 2007, with Vipul
• Productivity and ESOP: An Empirical Study of Indian Information Technology Firms, Accepted for presentation at the 6th Asia Academy of Management Conference, Tokyo, December, 2006.
• Probability of Default Using Merton's Option Pricing Model: An Empirical Analysis, 8th Capital Markets Conference, Mumbai, December, 2004, with Piyush Gupta (adjudged as an outstanding paper)

Registered Cases:

• GE and GE Capital – a case on the issues of financial strategy of GE Capital, with Jayanth R. Varma.
• ICICI – 2007 Public Issue- a case on the issues of a large follow-on public issue, with Jayanth R. Varma & Sobhesh K. Agarwalla

Case in progress:

Lupin's Foray into Japan, with Sobhesh K. Agarwalla and Prem Chander