... Emerald Publishing Limited 2017 Emerald Publishing Limited Licensed re-use rights only CAPM Momentum effect Indian stock market Investment strategies Loser Winner Despite the financial dominance of the efficient market hypothesis (EMH), most practitioners and academicians firmly...

...). The characteristic sorted portfolios are then regressed on risk factors using one factor (capital asset pricing model (CAPM)) and multi-factor model (Fama-French (FF) model and four factor model involving three FF factors and an additional sectoral momentum factor). Findings – After controlling for short-term...