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

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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。

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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.

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

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