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.
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页数：3
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