Please use this identifier to cite or link to this item: http://hdl.handle.net/11718/22808
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dc.contributor.advisorJacob, Joshy-
dc.contributor.authorKumar, Akshay-
dc.contributor.authorWachche, Somshekhar-
dc.date.accessioned2020-01-30T08:36:26Z-
dc.date.available2020-01-30T08:36:26Z-
dc.date.issued2017-
dc.identifier.urihttp://hdl.handle.net/11718/22808-
dc.description.abstractFama French three factor model and momentum factor explains the stock returns using, outperformance of small cap stock against big cap stocks, outperformance of high B/M stocks against low B/M value stocks and effect of momentum in equity market. The Fama French model fails to take into account the impact of transaction cost on these factor returns. Also, Fama French model assumes continuous portfolio rebalancing and no restriction on the short portfolios. But, in practice trading costs significantly impacts the return from stock. Also investors cannot take a short position on a stock except in for intraday trading. Thus, various trading strategies like long-short portfolios are not feasible in Indian equity market. Also, liquidity of the stock impacts the trading cost significantly. Thus, in this study we have decided to compute the returns that can be generated in Indian Equity Market using Fama French factors and momentum factor after considering transaction cost and with minimum and practical assumptions.en_US
dc.language.isoen_USen_US
dc.publisherIndian Institute of Management Ahmedabaden_US
dc.subjectFama-French factoren_US
dc.subjectTrade-off - Tracking error and transaction costen_US
dc.subjectImpact of trading costen_US
dc.titleAnalyzing impact of trading cost on Fama French and momentum factor (Four Factor Model)en_US
dc.typeStudent Projecten_US
Appears in Collections:Student Projects

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