Do select macroeconomic factors drive momentum returns?
Abstract In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-te...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2021-12-01
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| Series: | Future Business Journal |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s43093-021-00097-2 |
| _version_ | 1819094942841044992 |
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| author | A. Balakrishnan Nirakar Barik |
| author_facet | A. Balakrishnan Nirakar Barik |
| author_sort | A. Balakrishnan |
| collection | DOAJ |
| description | Abstract In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term and long-term momentum returns in Indian stock market. It is also found that Carhart four-factor model’s performance is relatively superior to other factor models such as one factor capital asset pricing model and Fama–French three-factor model in terms of capturing momentum returns. Finally, macroeconomic variables which are considered for analysis do not have any power to explain momentum returns. |
| first_indexed | 2024-12-21T23:35:26Z |
| format | Article |
| id | doaj.art-984afe5b1fdf4ca4b2199a5e0eb7d3f5 |
| institution | Directory Open Access Journal |
| issn | 2314-7210 |
| language | English |
| last_indexed | 2024-12-21T23:35:26Z |
| publishDate | 2021-12-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Future Business Journal |
| spelling | doaj.art-984afe5b1fdf4ca4b2199a5e0eb7d3f52022-12-21T18:46:23ZengSpringerOpenFuture Business Journal2314-72102021-12-017111210.1186/s43093-021-00097-2Do select macroeconomic factors drive momentum returns?A. Balakrishnan0Nirakar Barik1Department of Banking Technology, School of Management, Pondicherry UniversityDepartment of Commerce, School of Social Science and Languages, Vellore Institute of Technology , VIT UniversityAbstract In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term and long-term momentum returns in Indian stock market. It is also found that Carhart four-factor model’s performance is relatively superior to other factor models such as one factor capital asset pricing model and Fama–French three-factor model in terms of capturing momentum returns. Finally, macroeconomic variables which are considered for analysis do not have any power to explain momentum returns.https://doi.org/10.1186/s43093-021-00097-2Momentum returnsCapital asset pricing modelFama–French modelMacroeconomic variables |
| spellingShingle | A. Balakrishnan Nirakar Barik Do select macroeconomic factors drive momentum returns? Future Business Journal Momentum returns Capital asset pricing model Fama–French model Macroeconomic variables |
| title | Do select macroeconomic factors drive momentum returns? |
| title_full | Do select macroeconomic factors drive momentum returns? |
| title_fullStr | Do select macroeconomic factors drive momentum returns? |
| title_full_unstemmed | Do select macroeconomic factors drive momentum returns? |
| title_short | Do select macroeconomic factors drive momentum returns? |
| title_sort | do select macroeconomic factors drive momentum returns |
| topic | Momentum returns Capital asset pricing model Fama–French model Macroeconomic variables |
| url | https://doi.org/10.1186/s43093-021-00097-2 |
| work_keys_str_mv | AT abalakrishnan doselectmacroeconomicfactorsdrivemomentumreturns AT nirakarbarik doselectmacroeconomicfactorsdrivemomentumreturns |