印度市场视角下的Carhart四因素模型研究

2014 2nd International Conference on Business and Information Management (ICBIM) Pub Date : 2014-12-04 DOI:10.1109/ICBIM.2014.6970976

A. Banerjee, Gautam Bandyopadhyay, Anupam De, L. Ramani

{"title":"印度市场视角下的Carhart四因素模型研究","authors":"A. Banerjee, Gautam Bandyopadhyay, Anupam De, L. Ramani","doi":"10.1109/ICBIM.2014.6970976","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":6549,"journal":{"name":"2014 2nd International Conference on Business and Information Management (ICBIM)","volume":"107 1","pages":"141-143"},"PeriodicalIF":0.0000,"publicationDate":"2014-12-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"A Study on Carhart four-factor model in the perspective of Indian market\",\"authors\":\"A. Banerjee, Gautam Bandyopadhyay, Anupam De, L. Ramani\",\"doi\":\"10.1109/ICBIM.2014.6970976\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":6549,\"journal\":{\"name\":\"2014 2nd International Conference on Business and Information Management (ICBIM)\",\"volume\":\"107 1\",\"pages\":\"141-143\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-12-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2014 2nd International Conference on Business and Information Management (ICBIM)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/ICBIM.2014.6970976\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2014 2nd International Conference on Business and Information Management (ICBIM)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/ICBIM.2014.6970976","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 1

摘要

本文的目的是了解卡哈特定义的四个因素对投资组合回报的影响，该投资组合回报完全复制了印度市场上的漂亮。研究结果很有趣，因为我们发现动量因子((Jegadeesh and Titman, 1993)对估计Nifty的预期收益的影响非常有限。期望收益的最大解释来自于Sharpe-Lintner模型所定义的市场因素。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文

微信好友朋友圈 QQ好友复制链接

本刊更多论文

A Study on Carhart four-factor model in the perspective of Indian market

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

2014 2nd International Conference on Business and Information Management (ICBIM)

自引率

0.00%

发文量