Purpose: The purpose of this paper is to focus on one of the major emerging Asian economies – India – to examine the role of human capital in asset prices. Design/methodology/approach: The analysis uses various statistical techniques (e.g. multifactor regression model, 3D graphs, GRS test...

In this paper, we examine the presence of short-term and long-term momentum returns in Indian stock market. The study also tries to shed light on the power of asset pricing models and select macroeconomic variables in explaining momentum returns. The results confirm the presence of short-term...