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Please use this identifier to cite or link to this item: http://repository.iitr.ac.in/handle/123456789/9340
Title: An empirical test of the select multifactor asset pricing models with GMM
Authors: Bajpai S.
Sharma A.K.
Published in: International Journal of Business Innovation and Research
Abstract: This study focuses on the empirical testing of the two multifactor asset pricing models, namely, the Fama-French three-factor and Carhart four-factor models in the Indian capital market. The study builds on the constituent stocks of the Nifty 500 index to have an adequate representation of the Indian market. The study employs the generalised method of moments (GMM) to address the problem of endogeneity, and to have the consistent estimates. The results show that the four-factor model explains the cross-section of expected stock returns better than the three-factor model. However, the momentum factor is not significant for a majority of the periods of the study. Copyright © 2018 Inderscience Enterprises Ltd.
Citation: International Journal of Business Innovation and Research (2018), 15(3): 357-380
URI: https://doi.org/10.1504/IJBIR.2018.089753
http://repository.iitr.ac.in/handle/123456789/9340
Issue Date: 2018
Publisher: Inderscience Publishers
Keywords: Generalised method of moments
GMM
Indian capital market
Multifactor asset pricing models
Nifty 500.
ISSN: 17510252
Author Scopus IDs: 57200618958
57203774408
Author Affiliations: Bajpai, S., Department of Management Studies, Indian Institute of Technology Roorkee247667, India
Sharma, A.K., Department of Management Studies, Indian Institute of Technology Roorkee247667, India
Corresponding Author: Bajpai, S.; Department of Management Studies, Indian Institute of Technology RoorkeeIndia; email: shwetabajpai11@gmail.com
Appears in Collections:Journal Publications [MS]

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