Integrative Framework for the Determinants of Portfolio Stock Returns
Keywords:
portfolio, stock returns, Carhart, macroeconomic factor, sentiment indicatorsAbstract
The current study proposes an integrative framework for the determinants of the portfolio stock returns in the Indian stock market for the study period from 2007 to 2021 based upon the Carhart four-factor, macroeconomic and sentiment indicators using the Smart PLS methodology. The results suggest a significant relationship between the portfolio expected returns and four-factor indicators including the significant factor loadings as Rm – Rf, SMB, HML, and WML risk factors. Moreover, the momentum risk factor is reported to be negatively related to portfolio expected returns. However, an insignificant relationship was reported between the macroeconomic indicators and the portfolio's expected returns wherein inflation and the monthly change in the treasury bills hold a significant loading on the macroeconomic variables. Further, the findings document a significant relationship between the sentiment indicators and the portfolio expected returns with the significant factor loading involving Consumer Sentiment Index (CSI) and Market Turnover ratio (MTO). The findings of the study will be helpful for the various stakeholders like investors, portfolio managers, academicians, and researchers.
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