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

研究成果: Article同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.

原文English
頁(從 - 到)975-984
頁數10
期刊International Journal of Civil Engineering and Technology
9
發行號1
出版狀態Published - 2018 一月

All Science Journal Classification (ASJC) codes

  • 控制與系統工程
  • 土木與結構工程
  • 建築與營造
  • 電腦網路與通信

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