DocumentCode
169596
Title
A Study on Carhart four-factor model in the perspective of Indian market
Author
Banerjee, Adrish ; Bandyopadhyay, Gautam ; De, Avik ; Ramani, L.
Author_Institution
Asia-Pacific Inst. of Manage., New Delhi, India
fYear
2014
fDate
9-11 Jan. 2014
Firstpage
141
Lastpage
143
Abstract
The objective of this paper is to understand the impact of four factors as defined by Carhart on a portfolio return that exactly replicates Nifty in Indian market. The findings are interesting as we found that the momentum factor ((Jegadeesh and Titman, 1993) has a very limited influence on estimating the expected return of Nifty. The maximum explanation of expected return comes from the market factor defined by Sharpe-Lintner model during the period under consideration.
Keywords
stock markets; Carhart four-factor model; Indian market; Nifty; Sharpe-Lintner model; expected return; market factor; portfolio return; World Wide Web; Carhart Four-factor model; Expected return; Fama and French model; Sharpe-Lintner Model;
fLanguage
English
Publisher
ieee
Conference_Titel
Business and Information Management (ICBIM), 2014 2nd International Conference on
Conference_Location
Durgapur
Print_ISBN
978-1-4799-3263-4
Type
conf
DOI
10.1109/ICBIM.2014.6970976
Filename
6970976
Link To Document