The main objective of the current study is to study the market efficiency of Indian stock market through style investment strategy of investors. In particular, the present study has examined the momentum strategies of investors in post financial crisis era. It elaborates whether the momentum strategies result into significant abnormal profits to investors or not. The present study has taken monthly data of CNX 500 index components and sorted the equity stocks on the basis of their residual returns and then winner and loser portfolios are compared to examine the persistence of momentum strategies in the post financial crisis era. Various momentum strategies are made on 3 months, 6 months, 9 months and 12 months holding period basis. The findings of the study have evidenced in favor of momentum anomaly in Indian stock market.
Style Investment In India: A Study of Momentum Strategies
Journal of Accounting and Finance
Vol. 30 - No. 1