Do select macroeconomic factors drive momentum returns?

A. Balakrishnan () and Nirakar Barik ()
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A. Balakrishnan: Pondicherry University
Nirakar Barik: VIT University

Future Business Journal, 2021, vol. 7, issue 1, 1-12

Abstract: Abstract In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term and long-term momentum returns in Indian stock market. It is also found that Carhart four-factor model’s performance is relatively superior to other factor models such as one factor capital asset pricing model and Fama–French three-factor model in terms of capturing momentum returns. Finally, macroeconomic variables which are considered for analysis do not have any power to explain momentum returns.

Keywords: Momentum returns; Capital asset pricing model; Fama–French model; Macroeconomic variables (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1186/s43093-021-00097-2

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