Divya Aggarwal

@article{gupta_2465,

title = {Shrinking the capital costs and beta risk impediments through ESG: study of an emerging market},

author = {Santushti Gupta and Divya Aggarwal},

url = {https://www.emerald.com/insight/content/doi/10.1108/ARA-05-2023-0130/full/html},

year  = {2024},

date = {2024-03-01},

journal = {Asian Review of Accounting},

volume = {32},

number = {2},

pages = {249-277},

abstract = {Abstract

Purpose



This study aims to empirically examine environment, social, and governance (ESG) as an effective strategy to reduce major impediments for a corporation in the form of costs of capital (COC) and systematic risk, especially for emerging markets such as India.

Design/methodology/approach



A sample of 114 Indian firms from eight prominent industries based on Thomson Reuters classification (TRBC) are used in the study. A panel regression with industry-fixed effects is carried out to account for industry heterogeneity. For robustness, the authors also carry out a matched sample analysis.

Findings



The authors observe a negative and significant relationship between ESG performance with COC and systematic risk, respectively. For the pillar-wise analysis, the authors observe that only governance performance is negatively and significantly related to COC whereas the environmental and social performances are negative and insignificant. For ESG pillar level analysis for beta, the authors observe that all pillars are negative and significant, thus making a case for how firms can fine-tune their ESG strategies according to each pillar.

Research limitations/implications



As the ESG concept is still in a very nascent stage, data availability is a definite challenge in India.

Practical implications



As ESG is increasingly becoming relevant for multiple stakeholders, this study aims to provide evidence that can potentially guide the regulators, practitioners, and academicians to address the contemporary needs of these stakeholders, while also doing good for the firm in the traditional sense.

Social implications



The transition to a sustainable economy is a challenge for emerging economies, especially for a country like India where stakeholders are not only varied but also huge in number. With this study's contribution towards an incremental understanding of ESG, Indian regulators and policymakers can bring forward mandates as to ESG compliances that are rewarding for the firms and give them enough impetus towards complying with ESG norms.

Originality/value



The extant literature on ESG majorly discusses the relationship between ESG performance and financial performance. This study addresses the lacuna of the relationship of ESG with COC and beta in the Indian context.},

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@article{elembilassery_2453,

title = {What influences individuals' tolerance for ambiguity? Exploring the role of social comparison orientation, tendency to maximize and feel regret},

author = {Varun Elembilassery and Nikunj Kumar Jain and Divya Aggarwal},

url = {https://www.sciencedirect.com/science/article/pii/S0191886923003598},

year  = {2024},

date = {2024-02-01},

journal = {Personality And Individual Differences},

volume = {217},

pages = {112436},

abstract = {Situations marked with ambiguity can induce an aversion due to heightened fear of the unknown augmented by individual differences in ambiguity tolerance levels (Einhorn & Hogarth, 1985). Under such situations, an individual's ambiguity tolerance levels can be influenced based on the need to compare with others for ability-related or opinion-related social comparisons. Moreover, specific personality dispositions and emotions like the tendency to maximize and proneness to feel regret are prone to be sensitive towards social comparison effects. Hence, by employing two survey studies across different cultural backgrounds of the Indian context (N = 259) and US context (N = 284), this study aims to examine the under-researched relation between an individual's social comparison orientation (SCO) and tolerance for ambiguity (ToA), along with the emotional disposition traits of maximization and proneness to regret. The results show that the relationship is significant across both survey studies. However, only for ability-related social comparisons. While maximization tendency came as a significant predictor in the Indian context, in the US context, proneness to feel regret came as a significant predictor between the relation of SCO and ToA. The results show that comparing with others influences the tolerance for ambiguity. However, different personality traits reflective of collectivist vs individualistic cultural backgrounds also are a significant predictor of this relation.},

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@article{menon_2356,

title = {Examining significance of ?downside beta? as a measure of risk-evidence from Indian equity market},

author = {Sivakumar Menon and Pitabas Mohanty and Uday Damodaran and Divya Aggarwal},

url = {https://www.emerald.com/insight/content/doi/10.1108/IJOEM-01-2021-0026/full/html},

year  = {2023},

date = {2023-05-01},

journal = {International Journal Of Emerging Markets},

abstract = {Purpose



Many studies have shown that from a theoretical and empirical point of view, downside risk-based measures of risk are better than the traditional ones. Despite academic appeal and practical implications, downside risk has not been thoroughly examined in markets outside developed country markets. Using downside beta as a measure of downside risk, this study examines the relationship between downside beta and stock returns in Indian equity market, an emerging market with unique investor, asset and market characteristics.

Design/methodology/approach



This is an empirical study done by using ranked portfolio return analysis and regression analysis methodologies.

Findings



The study results show that downside risk, as measured by downside beta, is distinctly priced in the Indian equity market. There is a direct positive relationship between downside beta and contemporaneous realized returns, indicating a premium for downside risk. Downside risk carries a higher weightage than upside potential in the aggregate return of the stock portfolios. Downside beta is a better measure of systematic risk than conventional market beta and downside coskewness.

Practical implications



The empirical results support the adoption of downside beta in practice and provide a case for replacing traditional beta with downside beta in asset pricing applications, trading and investment strategies, and capital allocation decision-making.

Originality/value



This is one of the first in-depth studies examining downside beta in Indian equity markets using a broad sample of individual stock returns covering a wide time range of 22 years. To the best of our knowledge, this study is the first one to compare downside beta and downside coskewness using individual stock data from the Indian equity market.},

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@article{aggarwal_2138,

title = {Rethinking About Thinking: Developing Ourselves for Critical Thinking as an Educator},

author = {Divya Aggarwal and Varun Elembilassery},

url = {https://doi.org/10.1177/0258042X211069503},

year  = {2023},

date = {2023-05-01},

journal = {Management and Labour Studies},

volume = {48},

number = {2},

pages = {202-205},

abstract = {In real life scenarios, an individual comes across myriad situations that are marked with ambiguity and uncertainty. How do we prepare ourselves to embrace ambiguity and think critically in such situations? With the COVID-19 global pandemic, industry experts and academicians are referring to live with a crisis once in every 5 years, as the new normal. Each crisis is unique and so is the COVID-19 pandemic. As an educator and faculty, a mere lecture on critical thinking will not be enough and nor can the students be stirred towards critical thinking with few sessions. Curriculum reforms are required, and students need to go through experiential learning. The classroom teaching should not become part of the problem, but part of the solution in future.},

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@article{aggarwal_2139,

title = {WhatsApp Generation in Zoom University: Online Pedagogical Challenges and Innovations},

author = {Divya Aggarwal and Varun Elembilassery},

url = {https://doi.org/10.1177/0258042X211069498},

year  = {2023},

date = {2023-05-01},

journal = {Management and Labour Studies},

volume = {48},

number = {2},

pages = {169-181},

abstract = {Management education has undergone significant changes owing to the COVID-19 pandemic. The classroom delivery has moved from an offline mode to a completely online mode, unravelling many pedagogical challenges and constraints. This study explores the pedagogical challenges faced by academicians and the innovative remedial measures adopted by them. This study follows an inductive approach using qualitative interviews and uses the cognitive apprenticeship model as the theoretical underpinning. Findings indicate that all domain aspects of the cognitive apprenticeship model are not equally relevant in an online teaching scenario compared to offline teaching. Findings also indicate that the interpersonal and communicational aspects of the learning environment have gained more prominence in online teaching. This article contributes to the existing literature by bringing early evidence on the challenges and innovations in online teaching. In addition, this study also contributes to the understanding of the cognitive apprenticeship model in an online scenario. Even though the scope of the study was limited to academicians from the finance and accounting area, the findings are globally relevant. They have practical implications for other disciplines as well.},

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@article{aggarwal_2136,

title = {Compliance Behaviour Amidst Ambiguous Information: An Exploratory Study in the Context of COVID-19},

author = {Divya Aggarwal and Subramania Raju Rajasulochana and Varun Elembilassery},

url = {https://doi.org/10.1177/0258042X221097816},

year  = {2022},

date = {2022-11-01},

journal = {Management and Labour Studies},

volume = {47},

number = {4},

pages = {470-482},

abstract = {COVID-19 pandemic is an ambiguous situation due to the uncertainty associated with the outcome of the situation. This article aims at exploring the knowledge behaviour gap during a pandemic like COVID-19. The findings of this study indicate that individuals perceive different forms of ambiguity in different ways. Findings also suggest that, during a pandemic, attitude towards ambiguity and confidence in self-health significantly impact compliance behaviour. Interestingly, the findings also indicate that knowledge and perception about the context are not significantly associated with compliance behaviour. This study is one of the earliest attempts to understand the knowledge behaviour gap during a pandemic and contributes to the research literature by attempting a cross-fertilization of concepts from different streams of literature. This study also discusses the practical implications for the health sector, in particular health communication.},

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@article{aggarwal_2133,

title = {Risk and ambiguous choices: individual versus groups, an experimental analysis},

author = {Divya Aggarwal and Uday Damodaran and Pitabas Mohanty and D Israel},

url = {https://doi.org/10.1108/RBF-02-2021-0017},

year  = {2022},

date = {2022-11-01},

journal = {Review of Behavioral Finance},

volume = {14},

number = {5},

pages = {733-750},

abstract = {Purpose



This study examines individual ambiguity attitudes alone and in groups by leveraging the descriptive model of anchoring and adjustment on decision-making under ambiguity. The study extends Ellsberg's probability ambiguity to outcome ambiguity and examines decisions made under both ambiguities, at different likelihood levels and under the domain of gains and losses.

Design/methodology/approach



The methodology selected for this study is a two-stage within-subject lab experiment, with participants from different Indian universities. Each participant made 12 lottery decisions at the individual level and at individuals in the group level.

Findings



The results show that ambiguity attitudes are not universal in nature. Ambiguity seeking as a dominant choice was observed at both the individual level and at individual in the group level. However, the magnitude of ambiguity seeking or ambiguity aversion contingent upon the domain of gains and losses differed widely across the individual level and at individuals in the group level.

Research limitations/implications



The study enables to contribute toward giving a robust descriptive explanation for individual behavior in real-world applications of finance. It aims to provide direction for theoretical normative models to accommodate heterogeneity of ambiguity attitudes.

Originality/value



The study is novel as it examines a two-dimensional approach by representing ambiguity in probability and in outcomes. It also analyzes whether decisions under ambiguity vary when individuals make decisions alone and when they make it in groups.},

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@article{kalia_2134,

title = {Examining comovement and causality between producer price index for P&C insurance premium and uncertainty indices: Wavelet and non-parametric quantile causality approach},

author = {Deepali Kalia and Divya Aggarwal},

url = {https://www.sciencedirect.com/science/article/pii/S1090944322000175?via%3Dihub},

year  = {2022},

date = {2022-06-01},

journal = {Research in Economics},

volume = {76},

number = {2},

pages = {141-148},

abstract = {This study examines the impact of the news-based climate policy uncertainty index (CPU) on PPI-P&C. To understand the impact of different types of uncertainty on P&C insurance premiums, the study also examines the relation of economic policy uncertainty (EPU), and geopolitical risk uncertainty (GPU) with PPI-P&C index. The time-frequency relation between the indices is examined using wavelet coherence analysis (WCA), whereas the casual dependency is examined using the non-parametric causality in quantiles (CIQ) approach and linear and non-linear Granger causality tests. WCA shows significant co-movement phases between CPU and PPI-P&C across time-frequency domain with CPU leading the PPI-P&C over a specific time interval. Results from CIQ give evidence of uncertainty indices having an asymmetric significant dependency relation with the PPI-P&C index. The results have implications for examining the impact of rising uncertainties on rising insurance costs for P&C insurance providers.},

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@article{aggarwal_2135,

title = {Influence of imprecise information on risk and ambiguity preferences: Experimental evidence},

author = {Divya Aggarwal and Pitabas Mohanty},

url = {https://onlinelibrary.wiley.com/doi/10.1002/mde.3436},

year  = {2022},

date = {2022-06-01},

journal = {Managerial And Decision Economics},

volume = {43},

number = {4},

pages = {1025-1038},

abstract = {This study examines individual risk and ambiguity preferences under three different sources of imprecise information-induced ambiguity, namely, probability imprecision, outcome imprecision, and conflicting information. Using a within-subject lab experiment design, the study examines the extent to which gender and degree of perceived ambiguity explain individual preferences for risky and ambiguous investment choices. The analysis confirms existing literature findings of individuals showing an aversion toward ambiguous investment choices in comparison to risky choices. However, the magnitude of ambiguity aversion varied with respect to the different sources of ambiguity. An individual's degree of perceived ambiguity measured through matching probability had a significant influence on individual preferences under all sources of ambiguity. Gender had a significant influence on individual preferences only under conflicting information-induced ambiguity. The study demonstrates the relevance of examining determinants of ambiguity preferences contingent upon the source of information-induced ambiguity.},

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@article{aggarwal_2137,

title = {Defining and measuring market sentiments: A review of the literature},

author = {Divya Aggarwal},

url = {https://doi.org/10.1108/QRFM-03-2018-0033},

year  = {2022},

date = {2022-04-01},

journal = {Qualitative Research in Financial Markets},

volume = {14},

number = {2},

pages = {270-288},

abstract = {Purpose



The purpose of this paper is to review and discuss the literature focusing on defining and measuring sentiments so as to understand their role in stock market behavior.

Design/methodology/approach



Critical review of the literature by analyzing myriad scholarly articles. The study is based on an analysis of 81 scholarly articles to critically analyze the approach toward defining and measuring market sentiments. The articles have been examined to identify and critique different classification of sentiment measures. A discussion is built to scrutinize the sentiment measures under the purview of theoretical underpinnings of the investor sentiment theory as well.

Findings



With more than five decades of research, the sentiment construct in finance literature is still ill-defined. Myriad empirical proxies of sentiment measures have led to conflicting results. The sentiment construct defined in financial theories needs to be revisited from the lens of sentiments defined in psychology.

Research limitations/implications



The study is limited to analyzing the role of individual and institutional sentiments in equity markets. There is a need to explore sentiments with respect to different investment styles and strategies along with the type of investors.

Practical implications



Developing a suitable sentiment proxy can result in devising profitable trading strategies for investors. Understanding factors driving investor sentiments will help regulators to become more proactive and frame better policies.

Originality/value



This paper has leveraged psychology literature to highlight the limitations in development of sentiment construct in finance literature. By identifying stylized facts from reviewing the empirical literature, it highlights areas for future research.},

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@article{aggarwal_2140,

title = {A complete empirical ensemble mode decomposition and support vector machine-based approach to predict Bitcoin prices},

author = {Divya Aggarwal and Shabana Chandrasekaran and Balamurugan Annamalai},

url = {https://doi.org/10.1016/j.jbef.2020.100335},

year  = {2020},

date = {2020-09-01},

journal = {Journal of Behavioral and Experimental Finance},

volume = {27},

pages = {100335},

abstract = {Bitcoin as an asset class has received phenomenal investor attention and is considered to have similar characteristics like gold. This study aims to analyze the price behavior of bitcoin and apply machine learning algorithm for its prediction. Understanding the nature of Bitcoin price series is a multi-scale problem, and it can be best examined by analyzing its compositional characteristics. This study uses complete empirical ensemble mode decomposition (CEEMD) to analyze the nature of Bitcoin price series. Daily Bitcoin prices from 2012 to 2018 are used to perform CEEMD to identify the short term, medium term, and long-term trend in the Bitcoin price series. The study uses support vector machine (SVM) learning algorithm to find whether it can predict Bitcoin prices and finds that SVM predicts five steps ahead Bitcoin prices for the short term, medium term, long term, and overall Bitcoin price level.},

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@article{aggarwal_2141,

title = {Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games},

author = {Divya Aggarwal and Uday Damodaran},

url = {https://doi.org/10.1016/j.jbef.2019.100258},

year  = {2020},

date = {2020-03-01},

journal = {Journal of Behavioral and Experimental Finance},

volume = {25},

pages = {100258},

abstract = {A series of tailor made experiments were executed on a representative Indian household sample to investigate the influence of risky and ambiguous options on the choices made by the subjects. The objective of the study was to understand the impact of prior results on subsequent decisions made along with identifying role of demographic factors impacting their choices. The experiment showed that subjects displayed an escalation of commitment while playing the game in domains of losses. The results show that attitude of ambiguity aversion cannot be generalized in totality and role of cultural factors needs to be explored further.},

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@article{aggarwal_2142,

title = {Do bitcoins follow a random walk model?},

author = {Divya Aggarwal},

url = {https://doi.org/10.1016/j.rie.2019.01.002},

year  = {2019},

date = {2019-03-01},

journal = {Research in Economics},

volume = {73},

number = {1},

pages = {15-22},

abstract = {Bitcoins have become a fad among investors despite of the ambiguity surrounding on its nature and characteristics. This study aims to contribute to the existing literature of examining bitcoin returns under a financial asset purview. Through multiple robust tests, the market efficiency of daily bitcoin returns is analyzed for the time frame of July 2010 till March 2018. Strong evidence of market inefficiency characterized by absence of random walk model is found. The market inefficiency was found attributable to the presence of asymmetric volatility clustering. More studies are needed to examine the temporal dynamics of bitcoin returns.},

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