Banerjee, Arindam; Bandyopadhyay, Gautam; De, Anupam; Ramani, L.
2014 2nd International Conference on Business and Information Management (ICBIM),
2014-Jan.
Conference Proceeding
The objective of this paper is to understand the impact of four factors as defined by Carhart on a portfolio return that exactly replicates Nifty in Indian market. The findings are interesting as we found that the momentum factor ((Jegadeesh and Titman, 1993) has a very limited influence on estimating the expected return of Nifty. The maximum explanation of expected return comes from the market factor defined by Sharpe-Lintner model during the period under consideration.
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