Saumya Ranjan Dash
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Dr. Saumya Ranjan Dash has done his Ph.D. from the Indian Institute of Technology Kharagpur. (IIT Kharagpur), India. The topic of his doctoral dissertation is Asset Pricing Models, Financial Market Anomalies and Investor Sentiment: Evidences from the Indian Stock Market.
Dr. Saumya Ranjan Dash holds an M.Com degree from Utkal University, Odisha & a B.Com too from the same University. Prior to joining IIM Indore, he worked as Assistant Professor with IMT-Ghaziabad for two years.
His research interests include Behavioural Finance, Equity Research and Portfolio Management, Financial Market, Socially Responsible Investment Management, and Corporate Capital Structure.
His teaching interests include Financial Accounting and Reporting, Cost and Management Accounting, Empirical Asset Pricing, Behavioural Finance.
(2020) Liner shipping industry and oil price volatility: Dynamic connectedness and portfolio diversification, Transportation Research Part E: Logistics and Transportation Review, 138: 101962. (Co-author: D. Maitra, S., Chandra). {ABDC-A*}
(2020) Stock market liquidity: Implication of local and global investor sentiment, Journal of Public Affairs, https://doi.org/10.1002/pa.2231 (Co-author: B. Debata, J. Mahakud). {ABDC-B}
(2019) Period specific volatility spillover-based connectedness between oil and other commodity prices and their portfolio implications, Energy Economics, 85: 104566. (Co-author: D. Maitra, K. Guhathakurta). {ABDC-A*}
(2019) Dynamic Spillovers and Connectedness between Stocks, Commodities, Bonds, and VIX markets, Pacific-Basin Finance Journal, Accepted Manuscript. (Co-author: Sang H. Kang, D. Maitra, R. Brooks). {ABDC-A}
(2019) Economic Policy Uncertainty and Stock Market Liquidity: Evidence from G7 Countries, International Review of Finance, Accepted Manuscript. {ABDC-A}
(2019) The relationship between emerging and developed market sentiment: A wavelet-based time-frequency analysis, Journal of Behavioral and Experimental Finance, 22: 0-15. (Co-author: D. Maitra). {ABDC-A}
(2019) Corporate Governance and Firm Performance Relationship: Implication for Risk-Adjusted Return Behaviour, Managerial and Decision Economics. Accepted Manuscript. (Co-author: M. Raithatha). {ABDC-B}
(2019) Monetary Policy and Liquidity: Does Investor Sentiment Matter? IIMB Management Review, Accepted Manuscript. (Co-author: B. Debata, J. Mahakud). {ABDC-B}
(2019) Asset Quality Determinants of Indian Banks: Empirical Evidence and Policy Issues, Journal of Public Affairs, Accepted Manuscript. (Co-author: V. Dawar, R. Arrawatia, D. Maitra). {ABDC-B}
(2018) Investor sentiment and emerging stock market liquidity. Finance Research Letters, 26: 5-31. (Co-author: B. Debata, J. Mahakud). {ABDC-A}
(2018) Impact of disputed tax litigation risk on firm performance: evidence from India, Accounting Research Journal, 31(3): 458-478. (Co-author: M. Raithatha). {ABDC-B}
(2018) Does Shariah index hedge against sentiment risk? Evidence from Indian stock market using time–frequency domain approach. Journal of Behavioral and Experimental Finance. 19: 20-35. (Co-author: D. Maitra) {ABDC-A}
(2018) Does sentiment matter for stock returns? Evidence from Indian stock market using wavelet approach. Finance Research Letters, 26: 32-39. (Co-author: D. Maitra). {ABDC-A}
(2017) Sentiment and stock market volatility revisited: a time-frequency domain approach, Journal of Behavioral and Experimental Finance, 15: 74-91. (Co-author: D. Maitra). {ABDC-A}
(2016) Does investor sentiment as conditioning information help to explain stock returns behaviour? A test of alternative asset pricing models, Review of Behavioral Finance, 8(2):174-198. (Highly Commended Category Winner in 2017 Emerald Literati Network Award for Excellence) {ABDC-B}
(2016) Asset pricing models, cross-section of expected stock returns and financial market anomalies: A review of theories and evidences. Journal of Management Research, 16(4):230-249. (Co-author: J. Mahakud) {ABDC-C}
(2015) Market anomalies, asset pricing models, and stock returns: Evidence from the Indian stock market, Journal of Asia Business Studies, 9(3): 306-328. (Co-author: J. Mahakud) {ABDC-C}
(2014) Do asset pricing models explain size, value, momentum and liquidity effects? A case of an emerging stock market, Journal of Emerging Markets Finance, 13(3): 217-251. (Co-author: J. Mahakud) {ABDC-B}
(2013) A comparative assessment of unconditional multifactor asset pricing models: Evidence from Indian stock market, Journal of Management Research, 13(1): 35-54. (Co-author: J. Mahakud) {ABDC-C}
(2013) Conditional multifactor asset pricing model and market anomalies, Journal of Indian Business Research, 5(4): 271-294. (Co-author: J. Mahakud). {ABDC-C}
(2013) Investor sentiment as a source of priced risk: Do industries matter? Margin: The Journal of Applied Economic Research,7(3): 315-349. (Co-author: J. Mahakud). {ABDC-C}
(2013) Impact of investor sentiment on stock return: Evidence from India, Journal of Management Research, 13(3): 131-144. (Co-author: J. Mahakud). {ABDC-C}
(2013) Impact of Business Cycle on Bank Capital Buffers: Evidence from India, Journal of Economics, Management, and Financial Markets, 8(1): 110-127. (Co-author: J. Mahakud)
(2012) Investor Sentiment, risk factors and stock return: evidence from Indian non-financial companies, Journal of Indian Business Research, 4(3): 194-218. (Co-author: J. Mahakud). {ABDC-C}
Case Study:
IndusInd Bank: Residual Income Valuation (Product No. 9B16N015), Ivey Cases, Ivey School of Business Foundation. (with B. Dawar, R. Arrawatia, and A. Chaudhury).
*All publications are categorized as per Australian Business Deans Council (ABDC) 2019 Raking.