Momentum Anomaly and Portfolio Strategies: Case Study for India

Abstract

Piyush, a fund manager at Gravity Ventures, a Hong Kong-based asset management company, is exploring opportunities to invest funds in emerging markets. Due to available opportunities, Piyush decides to evaluate India as an investment destination. He examines momentum anomaly, one of the prominent asset pricing anomalies, as a portfolio trading strategy to decide whether investing a part of his investment funds in India would generate positive returns for his fund. The case provides a learning opportunity for students to understand asset pricing theory and apply various asset pricing tests to examine if momentum anomaly provides a profitable trading strategy in India.