Markets: A Rigorous Course
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Readings and resources

Core about 5 min

Read first

  1. MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature 35(1), 13–39 (if not already read for M12).
  2. Bernard, V. L. & Thomas, J. K. (1989). Post-earnings-announcement drift: delayed price response or risk premium? Journal of Accounting Research 27 (Supplement), 1–36.
  3. Damodaran, Investment Valuation (3rd ed., 2012), the chapter on valuing financial service firms; Koller, Goedhart & Wessels, Valuation (7th ed., 2020), the chapters on banks and on cyclical companies.
  4. M06 · 6.1–6.2 (reading filings and the three statements) and M01 · 1.10 (corporate actions and adjusted prices), if either is not fresh.
  5. The regulations, read once in full: SEBI LODR 2015, SAST 2011, PIT 2015, Buy-back 2018, Delisting 2021, ICDR 2018 (sebi.gov.in → Legal → Regulations; use the latest consolidated version).

Papers for depth

  • Ball, R. & Brown, P. (1968). An empirical evaluation of accounting income numbers. Journal of Accounting Research 6(2), 159–178.
  • Bernard, V. L. & Thomas, J. K. (1990). Evidence that stock prices do not fully reflect the implications of current earnings for future earnings. Journal of Accounting and Economics 13(4), 305–340.
  • Mendenhall, R. R. (2004). Arbitrage risk and post-earnings-announcement drift. Journal of Business 77(4), 875–894.
  • DellaVigna, S. & Pollet, J. M. (2009). Investor inattention and Friday earnings announcements. Journal of Finance 64(2), 709–749.
  • Hirshleifer, D., Lim, S. S. & Teoh, S. H. (2009). Driven to distraction: extraneous events and underreaction to earnings news. Journal of Finance 64(5), 2289–2325.
  • Martineau, C. (2022). Rest in peace post-earnings announcement drift. Critical Finance Review 11(3–4), 613–646.
  • Vermaelen, T. (1981). Common stock repurchases and market signalling. Journal of Financial Economics 9(2), 139–183.
  • Ikenberry, D., Lakonishok, J. & Vermaelen, T. (1995). Market underreaction to open market share repurchases. Journal of Financial Economics 39(2–3), 181–208.
  • Mitchell, M. & Pulvino, T. (2001). Characteristics of risk and return in risk arbitrage. Journal of Finance 56(6), 2135–2175.
  • Baker, M. & Savaşoğlu, S. (2002). Limited arbitrage in mergers and acquisitions. Journal of Financial Economics 64(1), 91–115.
  • Rock, K. (1986). Why new issues are underpriced. Journal of Financial Economics 15(1–2), 187–212.
  • Ritter, J. R. (1991). The long-run performance of initial public offerings. Journal of Finance 46(1), 3–27.
  • Loughran, T. & Ritter, J. R. (1995). The new issues puzzle. Journal of Finance 50(1), 23–51.
  • Loughran, T., Ritter, J. R. & Rydqvist, K. (1994). Initial public offerings: international insights. Pacific-Basin Finance Journal 2(2–3), 165–199. Updated table: https://site.warrington.ufl.edu/ritter/files/IPOs-International.pdf
  • Lakonishok, J. & Lee, I. (2001). Are insider trades informative? Review of Financial Studies 14(1), 79–111.
  • Cohen, L., Malloy, C. & Pomorski, L. (2012). Decoding inside information. Journal of Finance 67(3), 1009–1043.
  • Ohlson, J. A. (1995). Earnings, book values, and dividends in equity valuation. Contemporary Accounting Research 11(2), 661–687.
  • Fama, E. F. & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33(1), 3–56; (2015) A five-factor asset pricing model. JFE 116(1), 1–22.
  • Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance 52(1), 57–82.
  • Frazzini, A. & Pedersen, L. H. (2014). Betting against beta. Journal of Financial Economics 111(1), 1–25.
  • Asness, C. S., Frazzini, A. & Pedersen, L. H. (2019). Quality minus junk. Review of Accounting Studies 24(1), 34–112.
  • McLean, R. D. & Pontiff, J. (2016). Does academic research destroy stock return predictability? Journal of Finance 71(1), 5–32.
  • Agarwalla, S. K., Jacob, J. & Varma, J. R. (2013, revised 2014). Four factor model in Indian equities market. IIMA Working Paper 2013-09-05.

Indian data and sources

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