Prof. J. R. Varma: Downloadable Research Papers

The full text of the following papers are available here. Most of these are in PDF format. To view PDF files, you need the free Adobe Acrobat Reader which is available from Adobe. I am grateful to the journals which have given me permission to reproduce here the articles published in them.

In addition, full text is also available of several committee reports in which I was involved as a member or as Chairman. Links to full text of newspaper articles are also available in the full list of publications.


“Risk Management Lessons from the Global Financial Crisis for Derivative Exchanges”, IIMA Working Paper No. 2009-02-06, February 2009 [Abstract]  [Full Text - PDF]

“A First Cut Estimate of the Equity Risk Premium in India”, IIMA Working Paper No. 2006-06-04, June 2006 [Abstract]  [Full Text - PDF]

“Towards a Unified Market for Trading Gilts in India”, IIMA Working Paper No. 2004-11-05, November 2004 [Abstract]  [Full Text - PDF]

“Putting ‘Private Finance’ back into the Private Finance Initiative”, in S. Morris (ed.), India Infrastructure Report 2003: Public Expenditure Allocation and Accountability, Oxford University Press, New Delhi. [Abstract]  [Full Text - PDF]

“Governance, Supervision and Market Discipline: Lessons from Enron”, Journal of the Indian School of Political Economy, October-December 2002, 14(4), 559-632. [Abstract]  [Full Text - PDF]

“Comments on ‘Governance, Supervision and Market Discipline: Lessons from Enron’ and the Author’s Response”, Journal of the Indian School of Political Economy, October-December 2002, 14(4), 633-644. [Full Text - PDF]
This contains comments by Dr. N. Balasubramaniam, Dr. Ajay Shah and Dr. Ashok Desai on the previous paper as well as the author's response to these comments.

“Private Finance to Private Entrepreneurship”, in S. Morris (ed.), India Infrastructure Report 2002: Governance Issues for Commercialization, Oxford University Press, New Delhi. [Abstract]  [Full Text - PDF]

“The Indian Financial Sector After a Decade of Reforms”, ViewPoint 3, Centre for Civil Society, New Delhi, April 2002. [Abstract]  [Full Text - PDF]

“Mispricing of Volatility in the Indian Index Options Market”, IIMA Working Paper No. 2002-04-01, April 2002. [Abstract]  [Full Text - PDF]

“Regulatory Implications of Monopolies in the Securities Industry”, IIMA Working Paper, 2001-09-05, September 2001. [Abstract]  [Full Text - PDF]

“Regulatory Dilemmas in Infrastructure Financing”, in S. Morris (ed.), India Infrastructure Report 2001: Issues in Regulation and Market Structure, Oxford University Press, New Delhi. [Abstract]  [Full Text - PDF]

“Modelling Credit Risk in Indian Bond Markets”, ICFAI Journal of Applied Finance, 6(3), July 2000, 53-67. [Abstract]  [Full Text - PDF]

“Rupee-Dollar Option Pricing and Risk Measurement: Jump Processes, Changing Volatility and Kurtosis Shifts”, Journal of Foreign Exchange and International Finance, 13 (1), April-June 1999, 11-33. [Abstract]  [Full Text - PDF]

“Value at Risk Models in the Indian Stock Market”, IIMA Working Paper, 99-07-05, July 1999. [Abstract]  [Full Text - PDF]

“Asian Crisis and Finance Theory”, Vikalpa, 23(4), October-December 1998, 23-34. [Abstract]  [Full Text - PDF]

“Indian Financial Sector Reforms: A Corporate Perspective”, Vikalpa, 23(1), January-March 1998, 27-38. [Abstract]  [Full Text - PDF]

“Corporate Governance in India: Disciplining the Dominant Shareholder”, IIMB Management Review, 9(4), 5-18. [Abstract] [Full Text - PDF]

“Indian Money Market: Market Structure, Covered Parity and Term Structure”, ICFAI Journal of Applied Finance, 3(2), July 1997, 1-10. [Abstract]  [Full Text - PDF]

“The Stochastic Dynamics of the Short Term Interest Rate in India”, Indian Journal of Applied Economics, 6(1), January-March 1997, 47-58. [Abstract]  [Full Text - PDF]

“Impact on Sensex of Scrapping Double Taxation of Dividends”, IIMA Working Paper, 1352, February 1997. (with V. Raghunathan )[Full Text - PDF]

“Bond Valuation and the Pricing of Interest Rate Options in India”, ICFAI Journal of Applied Finance, 2(2), July 1996, 161-176. [Abstract]  [Full Text - PDF]

“Research on the Indian Capital Market: A Review”, Vikalpa, 19(1), January-March 1994, 15- 31 (with S.K. Barua and V. Raghunathan) Full Text (HTML).

“Financial Sector Reform: Institutional and Technological Imperatives”, Conference on Social Norms, Institutional Structures and Development Policy at the Indira Gandhi Institute of Development Research, Bombay, February 1994. Working Paper No. 1177, Indian Institute of Management, Ahmedabad, February 1994. (with S. K. Barua) [Full Text - PDF]

"Securities Scam: Genesis, Mechanics and Impact”, Vikalpa, 18(1), January-March 1993, 3- 12 (with S.K. Barua). [Full Text - PDF]

“Comments on SEBI's Draft Takeover Code”, Working Paper No. 1010, Indian Institute of Management, Ahmedabad, February 1992. (with V. Raghunathan and M.C. Bhatt). [Full Text - PDF]

“Narasimham Committee Report - Some Further Ramifications and Suggestions”, Working Paper No. 1009, Indian Institute of Management, Ahmedabad, February 1992. (with V. Raghunathan, A.Korwar and M.C. Bhatt). [Full Text - PDF]

“Indian Convertible Bonds with Unspecified Terms: A Valuation Model”, Working Paper No. 991, Indian Institute of Management, Ahmedabad, December 1991 (with S.K. Barua). [Full Text - PDF]

“Indian Convertible Bonds with Unspecified Terms: An Empirical Study”, Working Paper No. 990, Indian Institute of Management, Ahmedabad, December 1991 (with S.K. Barua and T. Madhavan). [Full Text - PDF]

“Is the BSE Sensitive Index Better than the National Index”, Working Paper No. 988, Indian Institute of Management, Ahmedabad, December 1991. [Full Text - PDF]

“A Valuation Model for Indeterminate Convertibles”, Working Paper No. 957, Indian Institute of Management, Ahmedabad, August 1991. [Full Text - PDF]

“The Existence and Continuity of Utility Functions: A New Proof”, Working Paper No. 819, Indian Institute of Management, Ahmedabad, August 1989. [Full Text - PDF]

“Where Utility Functions Do Not Exist: A Note on Lexicographic Orders”, Working Paper No. 818, Indian Institute of Management, Ahmedabad, August 1989. [Full Text - PDF]

“Equilibrium Pricing of Special Bearer Bonds”, Working Paper No. 817, Indian Institute of Management, Ahmedabad, August 1989. [Full Text - PDF]

“Estimation Errors and Time Varying Betas in Event Studies - A New Approach”, Working Paper No. 759, Indian Institute of Management, Ahmedabad, July 1988 (with S.K. Barua). [Full Text - PDF]


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