Research

Research Interests:

Behavioral Finance and Economics: Investor behavior, Behavioral decision making, Personal finance.

Financial Economics: Asset pricing, Risk management, Corporate finance.

Published and/or  Accepted Papers:

1. Behavioral Traits of Fund Managers: A Systematic Literature Review (with Sudipta Majumdar). Asia-Pacific Journal of Business Administration (Emerald), Accepted. 2024. 

2. Do fund managers’ performance rely on gender and team size? Evidence from India (with Sudipta Majumdar and Ajay K Mishra). North American Journal of Economics and Finance , Vol. 71, March 2024. 

3. Network Nexus: Exploring the Impact of Alumni Connections of Managers on Mutual Fund Performance in India (with Sudipta Majumdar, Sayantan Kundu, and Sankalp Bose). Asia Pacific Financial Markets (in-press), (2023).

4. Fund Characteristic, Managerial Skills, and Performance Persistence: Evidence from India (with Sudipta Majumdar and Rohan K Mishra). Asia Pacific Financial Markets (in-press), (2023).

5. Herding in the Indian Stock Market: Evidence from High-frequency Data (with S. Saravanan and N. K. Koshore). Empirical Economics Letters, Vol. 22, No. 10, pp. 11-19, 2023.

6. Corporate Governance Mechanism in an Emerging Economy: Synthesis and Future Directions (with Sadrita Deb). Business Law Review, Vol. 44, Issue 2, pp. 85-99 (2023).

7. Connectedness of Markets with Heterogeneous Agents and the Information Cascades (with Avijit Ghosh, Aditya Chourasiya, and Lakshay Bansal). In: Laha A.K. (eds) Applied Advanced Analytics. Springer Proceedings in Business and Economics. Springer, Singapore. 

8. Profits Are in the Eyes of the Beholder: Entropy-Based Volatility Indicators and Portfolio Rotation Strategies (with Gaurav Jadhao). In: Patnaik S., Tajeddini K., Jain V. (eds) Computational Management. Modeling and Optimization in Science and Technologies, vol 18. Springer.

9. Herd Behavior and Asset Pricing in the Indian Stock Market (with Yash Chauhan, Nehal Ahmad, and Vaishali Aggarwal). IIMB Management Review (Elsevier), 32 (2): 143-152, 2020. DOI: https://doi.org/10.1016/j.iimb.2019.10.008.

10. Impact of Ownership Structure and Dividend on Firm Performance and Firm Risk (with Abhinav K Rajverma, Arun K Misra, and Sabyasachi Mohapatra). Managerial Finance (Emerald), 45 (8): 1041-1061, 2019.  [2020 Emerald LITERATI AWARD - Highly Commended Paper]

11. Ownership Structure Influencing Joint Determination of Dividend, Leverage, and Cost of Capital (with Abhinav K Rajverma, Rakesh Arrawatia,  and Arun K Misra). Cogent - Economics & Finance,  DOI: https://doi.org/10.1080/23322039.2019.1600462, 2019.

12. Application of VIX and Entropy Indicators for Portfolio Rotation Strategies (with Gaurav Jadhao). Research in International Business and Finance (Elsevier). 42 (C): 1367-1371, 2017.

13. Does Individual Heterogeneity Shape Retail Investor Behavior? (with Kantesha V.S. and A. Satya Nandini). International Journal of Social Economics. 44(5): 578-593, 2017.

14. Behavioral Asset Pricing: Review and Synthesis (with Thenmozhi M.). Journal of Interdisciplinary Economics, 29(1): 1-31, 2017. [Lead article]

15. Open Interest, Basis, Volume, and Spot Volatility During Growth, Crisis and Stable Period: Evidence from Indian Stock Market (with Thenmozhi, M. and Sony Thomas). Finance India. 30(2): 473-510, 2016. 

16. On Asymmetric Relationship of India Volatility Index (India VIX) with Stock Market Returns and Risk Management (with Thenmozhi M.). DECISION. 42(1): 33-55, 2015.

17. Factors Influencing Indian Individual Investor Behavior: Survey Evidence (with Ravinder Kumar). DECISION. 39 (3): 141-167, 2012.

18. Cause and Effect between FII Trading Behavior and Stock Market Returns: The Indian Experience. Journal of Indian Business Research. 4 (4): 286-300, 2012

19. Stock Market Anomalies: A Test of Calender Effect in the Bombay Stock Exchange (BSE). Indian Journal of Finance. 5 (5): 23-3, 2011.

20. Nexus between Government Expenditure on Education and Economic Growth: Empirical Evidences from India. Romanian Journal of Multidimensional Education. 3 (6): 73-85, 2011.

21. Selection Behavior of Individual Investors: Evidence from Mutual Fund Investments (with Ravinder Kumar). Journal of Venture Capital and Financial Services. 4 (1): 16-26, 2010.

22. Decision Making in the Stock Market: A Conceptual Analysis (with Ravinder Kumar). Synergy - The Journal of Management. 12 (2): 23-34, 2010.

23. Predicting Stock Returns in Nifty Index: An Application of Artificial Neural Network (with Renu Vashisth). International Research Journal of Finance and Economics. 49: 15-24, 2010.

24. Individual Investors' Trading Behavior and the Competence Effect. The ICFAI Journal of Behavioral Finance. 6 (1): 56-70, 2009.

Working/Conference Papers:

1. Azwar Abdulsalam, Gowri Jayprakash, and A. Chandra. 2020. On the pricing of currency options under variance-gamma process. [Available at https://arxiv.org/abs/2009.14113] 

2. Saharsh Pugalia and A. Chandra. 2020. The cross-section of returns and risk relationship: New evidences from portfolio diversification strategies. [Accepted and presented at the Economic Science Association (ESA) Global Around-the-Clock Virtual Conference 2020, 10-12 September, 2020. Available at https://ssrn.com/abstract=3505520] 

3. Dhruv Mahajan and A. Chandra. 2019. Stochastic Spread Pairs Trading in the Indian Commodity Market. [Full paper available at https://ssrn.com/abstract=3423746] 

4. Sadrita Deb and A. Chandra. 2019. Corporate Governance Mechanism in India: Thematic Analysis of Recent Developments.

   • Presented at Centre for Qualitative Research in Finance - Inaugural Conference, University of Dundee, Scotland, UK, 4 June, 2019.

   • Qualitative Research in Financial Markets Best Paper at the Centre for Qualitative Research in Finance Conference 2019.

5. A. Chandra, Nidhi Malhotra, and Renu Vashisth. 2019. Volatility Spillover from Gold on Asian Equity Markets: An Empirical Analysis.

   • Presented at 10th Conference on Excellence in Research and Education (CERE 2019), IIM Indore, 3-5 May, 2019.

6. Avijit Ghosh, Aditya Chourasiya, Lakshay Bansal, and A. Chandra. 2019.  Connectedness of Markets with Heterogeneous Agents and the Information Cascades.

   • Presented at the 6th IIMA International Conference on Advanced Data Analysis, Business Analytics and Intelligence (ICADABAI-2019),  IIM Ahmedabad, 6-7 April, 2019.

7. Shemal Doshi and A. Chandra. 2019. Fine as a Nudge: Experimental Evidence.

   • Presented at 2019 Asia-Pacific Meeting of the Economic Science Association (ESA), New York University Abu Dhabi, 24-26 January. 2019.

8. Mohnish S. Jaswal and A. Chandra. 2018. Trading with Google Trends

   • Presented at International Conference of Financial Markets and Corporate Finance (ICFMCF) 2018, IIT Kanpur, 12-14 July, 2018.

9. Chauhan, Yash, Nehal Ahmad, Vaishali Aggarwal, and A. Chandra. 2017. Herd Behavior and Asset Pricing in the Indian Stock Market

   • Presented at BRAINSTORM, VINC'17 at VIPS New Delhi, 16-17 March, 2017. 

   • Judged as the Best Paper Award with cash prize and citation.

10. Fadke, Prasad, Harsh Dubey, S. Saha, and A. Chandra. 2017. What Explains Trading Volume Better? Experimental Evidence

    • Presented at the 2017 Asia Pacific Economic Science Association (APESA) Conference, Taipei, Taiwan, 16-18 Feb. 2017.

11. Jadhao, Gaurav and A. Chandra. 2016. India VIX Entropy Indicators for Portfolio Rotation Timing

• 1. Preliminary versions of the paper have been presented at the 4th Asian Quantitative Finance Conference (AQFC) 2016, during February 21-23, 2016, at Osaka University, Japan; the International Conference on Financial Markets and Corporate Finance (ICFMCF) 2016, during August 12-13, 2016, at DoMS, IIT Madras, Chennai; and the International Conference on Corporate Finance, Governance, and Sustainability, during October 21-23, 2016, at Delhi School of Business, New Delhi.

12. Bhattacharyya, Ananjan and A. Chandra. 2016. The Cross-section of Expected Returns on Penny Stocks: Are low-hanging fruits not-so sweet?

• 1. First version: October 2016. Presented at the International Conference on Corporate Finance, Governance, and Sustainability, during October 21-23, 2016, at Delhi School of Business, New Delhi. [Full text available at SSRN 2386949]

13. A. Chandra, Renu Vashisth, and Ravinder Kumar. 2015. Fine Enough or Don't Fine At All: Experimental Evidence. 

• 1. First version: May 2015. Presented at the ESA European Meeting 2015, during September 2-5, 2015, at Heidelberg University, Heidelberg, Germany.

14. A. Chandra, and M. Thenmozhi. 2013. Investor Sentiment, Volatility and Returns Comovements. 

    • First version: February 2013. An earlier version with the title "Investor Sentiment Index and Stock Market Returns" accepted for presentation at the 5th Annual Meeting of the Academy of Behavioral Finance and Economics, during September 17-20, 2013, at DePaul University, Chicago, IL, USA.

    • Second version: December 2013. A completely revised and extended version of the paper presented at the India Finance Conference 2013, held during 17-20 December 2013, at Indian Institute of Management Ahmedabad, jointly organized by Indian Institutes of Management Ahmedabad, Bangalore and Calcutta.  [Access the full text of the working paper here]

    • Third version: February 2014. Improvised version of the paper accepted for presentation at the 12th INFINITI2014 Conference, organized by Trinity College Dublin and Monash Unieversity - Prato Center, Italy, during 9-10 June 2014.

15. A. Chandra, and M. Thenmozhi. 2012. Liquidity in Currency Options Market in India.

    • First version: December 2012. Presented at the XIth Capital Markets Conference during December 20-22, 2012 at the Indian Institute of Capital Markets (formerly UTI Institute of Capital Markets), Navi Mumbai, India. [Link to access the article at IICM Working Paper Series at SSRN]

    • Second version: May 2013. Accepted for presentation at Global Finance Conference 2013, held during May 20-22, 2013, at Monterey Bay, California, USA.

    • Third version: April 2014. Presented at 5th Financial Markets and Corporate Governance (FMCG) Conference 2014, held during 20-22 April 2014, at QUT Brisbane, Australia.

16. Thenmozhi, M., and A. Chandra. 2013. India Volatility Index (India VIX) and Risk Management in the Indian Stock Market.

    • First version: April 2013. Prepared as part of the NSE's Commissioned Research Initiative; Full paper available as NSE Working Paper Series WP/9/2013. August 2013. [Link to access the full text from the NSE].

My other current/past working papers can be accessed at my SSRN Home Page.

Other Publications:

1. Chandra, Abhijeet. 2012. Book Review (invited) of The Macro Economy Today by Bradley R. Shiller. NICE Journal of Business. 7 (1): 106-109.

2. Chandra, Abhijeet, and Ravinder Kumar. 2011.  Analyzing the Influence of Contextual Factors on the Public Private Partnerships in Infrastructure. In R. P. Pradhan, editor, Strategy of Infrastructure Finance, ch. 7: 119-140. Macmillan Advanced Research Series.

3. Chandra, Abhijeet, and Ravinder Kumar. 2008. Decision-making in the Stock Markets: Incorporating Psychology with Finance. In the Proceedings of the conference "Forecasting Financial Markets in India (FFMI 2008)", held during December 28-31, 2008, at Vinod Gupta School of Management, Indian Institute of Technology Kharagpur, India.