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.
|頁（從 - 到）||975-984|
|期刊||International Journal of Civil Engineering and Technology|
|出版狀態||Published - 2018 一月|
All Science Journal Classification (ASJC) codes