A study on testing performance of nifty commodity index constituent companies in India using carhart four factor model: Empirical analysis

Jakeer Hussain Shaik, Santoshi Bhuma, Vymisha Vankayala

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

We differ previous studies on Testing Performance of Nifty Commodity index constituent companies in India Using Carhart Four Factor Model in several significant ways. We test whether empirical asset pricing models capture the value, size and momentum patterns in average returns of domestic commodity market. Spreads in average momentum returns, value premium, and size premium also decrease from smaller to bigger stocks. Value premiums, size premium and momentum premium in average stock returns of most of the commodity stocks across different commodities does not get strong support in our tests. The present study suggests that the investor should be careful while investing in this stock for the long term due to huge volatility prevailing in the market.

Original languageEnglish
Pages (from-to)975-984
Number of pages10
JournalInternational Journal of Civil Engineering and Technology
Volume9
Issue number1
Publication statusPublished - 2018 Jan

All Science Journal Classification (ASJC) codes

  • Control and Systems Engineering
  • Civil and Structural Engineering
  • Building and Construction
  • Computer Networks and Communications

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