• Ms. RAMANDEEP KAUR
• Dr. RUBEENA BAJWA

The current study examined the time-varying risk-premium relationship of the Indian stock market through the adoption of the one factor Capital Asset Pricing model and the French-Fama three-factor model in the framework of cross-sectional momentum and contrarian effects. Over the five-year study period, i.e. from April 2012 to March 2017, the portfolios (momentum and contrarian) were framed using monthly returns of all the listed stocks on BSE 500 index having complete data. The research employed multiple regression technique to analyze the impact on stock returns of market risk, size risk and value risk. The results showed that the relationship between risk and premium varies over time, and the opportunities for arbitrage based on the winner and loser portfolios increase and decline over time. Overall findings of the study confirmed that the three-factor model given by Fama and French was found to be superior to the conventional one-factor CAPM model and suggested the use of the multifactor asset pricing model for investment decision consideration.

Momentum, Contrarian, Capital asset pricing model, Fama and French three factor model

"AN EMPIRICAL COMPARISON OF CAPM AND THREE FACTOR FAMA FRENCH MODEL WITHIN THE FRAMEWORK OF MOMENTUM AND CONTRARIAN EFFECT", International Journal of Emerging Technologies and Innovative Research (www.jetir.org), ISSN:2349-5162, Vol.6, Issue 5, page no.1246-1251, May-2019, Available :http://www.jetir.org/papers/JETIR1905S87.pdf

"AN EMPIRICAL COMPARISON OF CAPM AND THREE FACTOR FAMA FRENCH MODEL WITHIN THE FRAMEWORK OF MOMENTUM AND CONTRARIAN EFFECT", International Journal of Emerging Technologies and Innovative Research (www.jetir.org | UGC and issn Approved), ISSN:2349-5162, Vol.6, Issue 5, page no. pp1246-1251, May-2019, Available at : http://www.jetir.org/papers/JETIR1905S87.pdf