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- W340831825 abstract "The ability to identify which factors best capture systematic return co-variation is central to applications of multi-factor pricing models. With the development of modern portfolio theory and the advancement of computational technique, the employment of quantitative approach to practically measure asset risk and returns has become possible. Therefore, the purpose of this paper is to construct a multi-factor model for Indian security universe using fundamental, technical and country specific descriptors. Following the approach of the BAARA model, we have adopted a cross sectional methodology and used monthly data of companies forming part of S&P CNX 500 from 1st April 2000 to 31st March 2006. The arithmetic average of explained variance is 40.93 percent and the median value is 44.3 percent in the monthly regression of our model. Our findings suggest that our multi factor model perform well in predicting investment risk and providing investment intuitions. Our study leaves several questions unanswered that need to be addressed in future research." @default.
- W340831825 created "2016-06-24" @default.
- W340831825 creator A5049257164 @default.
- W340831825 date "2008-01-01" @default.
- W340831825 modified "2023-10-16" @default.
- W340831825 title "Multi-Factor Model Construction for Equity Market of India" @default.
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- W340831825 doi "https://doi.org/10.2139/ssrn.1080762" @default.
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