Application of multi-criteria decision analysis for investment strategies in the Indian equity market

Majumdar, Sudipa ORCID logoORCID: https://orcid.org/0000-0002-8176-1586, Puthiya, Rashita ORCID logoORCID: https://orcid.org/0000-0002-8506-020X and Bendarkar, Nandan (2021) Application of multi-criteria decision analysis for investment strategies in the Indian equity market. Investment Management and Financial Innovations, 18 (3) . pp. 40-51. ISSN 1810-4967 [Article] (doi:10.21511/imfi.18(3).2021.04)

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Abstract

In the Indian equity market, the Systematic Investment Plan (SIP) is the most popular strategy due to its convenience for disciplined investing regardless of market conditions. This study analyzes the excess returns of an extensive dataset of listed Indian companies from 2010 to 2019, along with a value-based version of the Multi-Criteria Decision Analysis (MCDA), to identify top performing stocks, based on their sectors and market capitalization. The findings of the study provide empirical evidence of Value Averaging (VA) as a viable alternative strategy over SIP (also known as Dollar Cost Averaging or Rupee Cost Averaging) as 352 out of 359 companies yielded higher returns under VA. The superiority of the VA strategy over the SIP was particularly marked in the consumer goods, financial services and industrial manufacturing sectors, with a clear dominance of small cap companies. The results also show that risk factors for VA strategy play an important role and should be taken into account, rather than base investment decisions on excess returns alone. The efficiency scores of individual stocks provide important insights for mutual funds, financial brokers and individual investors in India.

Item Type: Article
Keywords (uncontrolled): Strategy and Management, Economics and Econometrics, Finance, Business and International Management
Research Areas: A. > Business School > Accounting and Finance
A. > Business School > Economics
Item ID: 33953
Notes on copyright: © Sudipa Majumdar, Rashita Puthiya, Nandan Bendarkar, 2021.
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International license, which permits unrestricted re-use, distribution, and reproduction in any medium, provided the original work is properly cited.
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Depositing User: Jisc Publications Router
Date Deposited: 12 Oct 2021 07:44
Last Modified: 12 Oct 2021 07:45
URI: https://eprints.mdx.ac.uk/id/eprint/33953

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