Size, value and momentum in stock returns: evidence from India. Issue 3 (1st September 2016)

• Record Type: Journal Article
• Authors: Das, Sudipta; Barai, Parama
• Is Part Of: Macroeconomics and finance in emerging market economies. Volume 9:Issue 3(2016)
• Page Start: 284
• Page End: 302
• Publication Date: 2016-09-01
• Subjects: conditional asset pricing -- Kalman filter -- momentum effect -- Fama–MacBeth regression; Developing countries -- Economic policy -- Periodicals; Monetary policy -- Developing countries -- Periodicals; Finance -- Developing countries -- Periodicals; 330.91724
• DOI: 10.1080/17520843.2016.1148754
• Languages: English
• ISSNs: 1752-0843

Abstract

Abstract : This paper examines the effects of size, value and momentum on the cross-sectional relation between expected returns and risk in the Indian stock market. We find that the conditional Carhart four-factor model empirically describes the variation of cross-section of return better than the unconditional model. When size, book-to-market and momentum effects are controlled in the conditional model, the positive relation of market beta, book-to-market and momentum with expected returns remains economically and statistically significant. However, this evidence is found to be subject to characteristics of test portfolios. The expected returns are sensitive to changes in predictive macroeconomic variables.