Abstract Our study focuses on establishing portfolio based momentum profits in Indian market, and designing model to identify portfolio specific and macroeconomic factors generating abnormal returns. We empirically examine returns of long and short term winners and losers portfolios to establish extra-normal profits existence similar to those documented by Jegadeesh and Titman (1993). Using Vector Autoregressive methodology, we find Price-Earnings ratio, Price-Book ratio and Net FII inflows as significant factors in momentum generation. We further decompose Momentum Profits to test for time-series, cross-sectional and lead-lag components. Our study provides insight to portfolio managers for exploring momentum concept during portfolio designing. Extended Summary Purpose - The study aims to confirm, if there exists any portfolio level returns resulting due to momentum led investments in the Indian equity market. The study has also examined and established the contribution made by the macroeconomic and portfolio specific variables in generation of these abnormal returns. The larger objective of the study is aimed at making a short term trader or a long term investor realize the benefits of momentum trading and enable a wider acceptance for the technique in designing trading or investment strategies. Design/Methodology/Approach – The Authors use VAR methodology to test and confirm the momentum effect in Indian market; the study has constructed long term and short term winners and losers portfolios and identified the extra-normal profits present in the portfolios. The abnormal profits are further decomposed into the time-series, cross-sectional and lead-lag components. Findings - The authors find the evidence of portfolio level extra-normal profits which are comparable in nature to the momentum returns documented by Jegadeesh and Titman (1993) for the USA. The VAR model found Price-Earnings ratio, Price-Book ratio and Net FII inflows are momentum generating factors in the Indian context. Further, the decomposition of abnormal returns indicates that the Time-Series pattern contribute highest to the momentum profit. Research Implications - The findings of the study provide insight to portfolio managers to explore momentum as a concept in designing portfolios. Originality/value – The study provides an insight to realize the existence of portfolio level momentum returns in Indian markets and identify the factors resulting in the abnormal returns. In addition, the study has put an effort to decompose momentum led profits and empirically confirm any contribution due to cross-sectional risk, effects arising due to lead-lag relationships and time-series pattern. The paper also discusses the managerial implications and possible policy formulation that might be framed for a better buy-in and wider out-reach of this technique.

中文翻译：

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动量回报：基于投资组合的经验研究，以建立印度股票市场的证据，因素和获利能力

摘要我们的研究重点是在印度市场上建立基于投资组合的动量利润，并设计模型以识别产生异常收益的投资组合特定和宏观经济因素。我们根据经验检验长期和短期赢家和输家的收益，以建立超常利润存在，类似于Jegadeesh和Titman（1993）记载的那样。使用向量自回归方法，我们发现价格收益比，价格账簿比和净FII流入是动量生成的重要因素。我们进一步分解动量利润来测试时间序列，横截面和超前滞后组件。我们的研究为投资组合经理在投资组合设计过程中探索动量概念提供了见识。扩展摘要目的-该研究旨在确认，如果由于印度股票市场的动能引导投资而产生任何投资组合水平的回报。该研究还检查并确定了由宏观经济和特定于投资组合的变量在产生这些异常收益中的贡献。该研究的较大目标是使短期交易者或长期投资者意识到动量交易的好处，并使该技术在设计交易或投资策略时得到更广泛的接受。设计/方法论/方法-作者使用VAR方法测试并确认印度市场的动量效应；该研究构建了长期和短期的赢家和输家投资组合，并确定了投资组合中存在的超常利润。异常利润进一步分解为时间序列，横截面和超前滞后组件。调查结果-作者发现投资组合水平的超常利润的证据，其性质与美国Jegadeesh和Titman（1993）记录的动量收益具有可比性。VAR模型发现，在印度背景下，市盈率，市账率和FII净流入是动量产生因素。此外，异常收益的分解表明时间序列模式对动量收益的贡献最大。研究意义-研究的结果为投资组合经理提供了洞察力，以探索动量作为设计投资组合的概念。独创性/价值–该研究为了解印度市场中投资组合水平的动能回报的存在提供了见识，并确定了导致异常收益的因素。此外，这项研究致力于分解动量引导的利润，并根据经验确认由于横断面风险，提前滞后关系和时间序列模式产生的影响的任何贡献。本文还讨论了管理意义和可能制定的政策，这些框架可能有助于更好地接受和扩大该技术的覆盖范围。