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TEST OF CARHART MODEL IN INDIAN STOCK MARKET
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Author(s):
MS. SHUCHITA VERMA , MR. NAVEEN CHAUDHARY
Vol - 5, Issue- 1 ,
Page(s) : 351 - 399
(2014 )
DOI : https://doi.org/10.32804/IRJMST
Abstract
The paper studies the momentum and overreaction phenomena in the Indian equity markets with the help of Carhart model The effect of size and book to market ratio has also been taken into account by sorting the sample by market capitalization and dividing it into low cap, mid cap and high cap categories and high and low book to market ratio respectively. We find that size effect and book to market effect is evident for Indian stock market’s portfolios but momentum factor is not that significant for the Indian Stock market
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