Size, Value, and Momentum Effects in Stock Returns: Evidence from India

A. Balakrishnan

Vision, 2016, vol. 20, issue 1, 1-8

Abstract: We examine in this article if stock returns show a pattern which indicates certain anomalies predominantly size, value, and momentum effects. We also examine whether asset pricing models capture mean excess returns on portfolios constructed based on size–value and size–momentum factors. We find that average stock returns exhibit patterns that have size, value, and momentum effects. We also show evidence that the empirical results do not fully support asset-pricing models. Capital asset-pricing model (CAPM) does not capture average returns on portfolios. Fama–French three-factor model partly explains average returns on size–value sorted portfolios while Carhart four-factor model captures returns on size–momentum sorted portfolios mainly small size-winner portfolio. Hence, size, value and momentum factors continue to exist in Indian stock market and they are found to be profitable investment strategies which would maximize invested wealth of the investors.

Keywords: Stock returns; CAPM; Fama–French; Momentum effect (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:20:y:2016:i:1:p:1-8

DOI: 10.1177/0972262916628929

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