A Study on Carhart Four-Factor Model in the Perspective of Indian Market

被引：0

作者：

Banerjee, Arindam ^{[1
]}

Bandyopadhyay, Gautam ^{[2
]}

De, Anupam ^{[2
]}

Ramani, L. ^{[3
]}

机构：

[1] Asia Pacific Inst Management, New Delhi, India

[2] Natl Inst Technol, Durgapur, India

[3] Birla Inst Management Technol, Greater Noida, India

来源：

2014 2ND INTERNATIONAL CONFERENCE ON BUSINESS AND INFORMATION MANAGEMENT (ICBIM) | 2014年

关键词：

Carhart Four-factor model; Expected return; Sharpe-Lintner Model; Fama and French model; RETURNS;

D O I：

暂无

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

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.

引用

页数：3

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