An empirical test of the select multifactor asset pricing models with GMM
by Shweta Bajpai; Anil K. Sharma
International Journal of Business Innovation and Research (IJBIR), Vol. 15, No. 3, 2018

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.

Online publication date: Fri, 09-Feb-2018

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Business Innovation and Research (IJBIR):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com