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ID:
137701
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| Summary/Abstract |
The empirical literature indicates that momentum-style investing is a more effective approach than value-based or growth-based strategies. To confirm this, this article makes an attempt to construct a Momentum Index for the Indian equity market. The CNX NIFTY 50 Momentum Index is designed by calculating the volatility and volume-adjusted Momentum Index for each security in the CNX NIFTY 50 Parent Index. The estimated Momentum Index returns are compared with the CNX NIFTY 50 Index in terms of volatility, Sharpe Ratio and Treynor Ratio. Using VAR methodology, and macroeconomic, firm-specific factors which influence the momentum, index returns are analysed. This study also examined the Fama–French unconditional CAPM by including the Momentum Index return as the fourth factor alongside price–earnings, price–book ratio and dividend yield in estimating excess market returns.
JEL: G11, G12, G14
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| 2 |
ID:
111059
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| Publication |
2012.
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| Summary/Abstract |
The renewable energy sector is one of the fastest growing components of the energy industry and along with this increased demand for renewable energy there has been an increase in investing and financing activities. The tradeoff between risk and return in the renewable energy sector is, however, precarious. Renewable energy companies are often among the riskiest types of companies to invest in and for this reason it is necessary to have a good understanding of the risk factors. This paper uses a variable beta model to investigate the determinants of renewable energy company risk. The empirical results show that company sales growth has a negative impact on company risk while oil price increases have a positive impact on company risk. When oil price returns are positive and moderate, increases in sales growth can offset the impact of oil price returns and this leads to lower systematic risk.
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