Size, Value and Momentum Returns in Indian Stock Market

Authors

  • Neeraj Kumar Sharma Junior Research Fellow, University Business School, Panjab University, Chandigarh
  • Dr. Rupinder Bir Kaur Associate Professor, University Business School, Panjab University, Chandigarh
  • Prof. Keshav Malhotra Professor, Department of Evening Studies - Multi Disciplinary Research Centre, Panjab University, Chandigarh

DOI:

https://doi.org/10.31305/rrijm.2024.v09.n02.028

Keywords:

Factor investing, Size effect, Equity Risk Premium, Value effect, Fama-French methodology, Momentum effect, Indian stock market

Abstract

The study investigates the applicability of factor-based investing in the Indian stock market, particularly focusing on the size, value, and momentum factors. Using data from 2005 to 2022 and employing the Fama-French methodology, the research examines the performance of these factors and their impact on investment returns. The findings reveal that while the size factor yielded negative returns, both the value and momentum factors exhibited positive performance. Notably, momentum emerged as the most effective strategy, delivering substantial returns and outperforming other factors. Additionally, the study analyzes the Equity Risk Premium (ERP), indicating insignificant real returns in the market during the study period. Drawdowns and volatility are assessed for each factor, highlighting the inherent risks and fluctuations associated with factor based investing. The research emphasizes the significance of integrating factor analysis in investment strategies and provides insights into the dynamics of the equity segment of Indian capital market.

Author Biographies

Neeraj Kumar Sharma, Junior Research Fellow, University Business School, Panjab University, Chandigarh

Neeraj Kumar Sharma is an alumnus of UBS, Panjab University, where he earned his MBA specializing in Finance. Presently, he is making his mark as a Junior Research Fellow at the same esteemed institution. His academic and research focus gravitates towards Asset Pricing, Investment Management, and the innovative realm of Blockchain technology. His work is characterized by a deep analytical approach aimed at deciphering the complexities of financial markets for economic advancements with a keen eye on both theoretical insights and practical implications.

Dr. Rupinder Bir Kaur, Associate Professor, University Business School, Panjab University, Chandigarh

Dr. Rupinder Bir Kaur is a respected Associate Professor at the University Business School (UBS), Panjab University, where she also completed her Masters of Commerce (Honours) and Ph.D. in Human Resource Management. With a deep-seated passion for HR Analytics and Emotional Intelligence, Rupinder has dedicated her career to exploring the nuances of human capital in the corporate world. Her expertise is underscored by over 10 research publications in esteemed journals, contributing significantly to the academic and practical understanding of HRM. Rupinder’s work not only enriches her students but also guides industry professionals in adopting more insightful and empathetic approaches to managing talent.

Prof. Keshav Malhotra, Professor, Department of Evening Studies - Multi Disciplinary Research Centre, Panjab University, Chandigarh

Prof. Keshav Malhotra is a distinguished professor in the Department of Evening Studies, Multi-Disciplinary Research Centre at Panjab University, Chandigarh, specializing in Banking, Finance, and Accounting. His career is marked by a commitment to academic excellence and mentorship in the financial disciplines. Under his guidance, a notable number of Ph.D. scholars have successfully obtained their degrees, evidencing his expertise and supportive mentoring. Prof. Malhotra has also contributed significantly to the field through numerous research papers, enhancing scholarly understanding and discussion in finance and accounting.

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Published

15-02-2024

How to Cite

Sharma, N. K., Kaur, R. B., & Malhotra, K. (2024). Size, Value and Momentum Returns in Indian Stock Market. RESEARCH REVIEW International Journal of Multidisciplinary, 9(2), 256–269. https://doi.org/10.31305/rrijm.2024.v09.n02.028

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Vol. 9 No. 2 (2024): RESEARCH REVIEW International Journal of Multidisciplinary

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