What is it about?
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.
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Why is it important?
Indian markets have experienced a phenomenal growth in the last two decades. As the Indian capital market has become more integrated with regional and world markets, it is necessary to provide academics and practitioners a better understanding on the cross-sectional behavior of stock returns in this markets.
Perspectives
The conditional Carhart four-factor model empirically describes the variation of cross section of return better than the unconditional model.
Mr Sudipta Das
Indian Institute of Information Technology Allahabad
Read the Original
This page is a summary of: Size, value and momentum in stock returns: evidence from India, Macroeconomics and Finance in Emerging Market Economies, March 2016, Taylor & Francis,
DOI: 10.1080/17520843.2016.1148754.
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