Indian Institute of Management Ahmedabad
Associate Professor at Indian Institute of Management, Ahmedabad
- FPM, Indian Institute of Management, Lucknow (2008)
- Academic 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
- 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)
- 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.
- 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)
- 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