Maheshwari, Supriya; Dhankar, Raj Singh - In: Journal of Advances in Management Research 14 (2017) 1, pp. 3-22
Purpose The purpose of this paper is to provide insights into the profitability of momentum strategies in the Indian stock market. This study further evaluates whether the momentum effect is a manifestation of size, value or an illiquidity effect. Design/methodology/approach Monthly stock return...