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This research study aims to design a novel risk-managed time-series momentum approach. The present study also examines the time-series momentum effect in the Indian equity market. Apart from this, the study also proposes a novel risk-managed time-series momentum approach.

The study considers the adjusted monthly closing prices of the stocks listed on the Bombay Stock Exchange from January 1996 to December 2020 to formulate long-short portfolios. Newey–West t statistics were used to test the significance of momentum returns. The present research has considered standard risk factors, i.e. market, size and value, to evaluate the risk-adjusted performance of time-series momentum portfolios.

The present research reports a substantial absolute momentum effect in the Indian equity market. However, absolute momentum strategies are exposed to occasional severe losses. The proposed time-series momentum approach not only yields 2.5 times higher return than the standard time-series momentum approach but also causes substantial enhancement in downside risks and higher-order moments.

The study's outcomes offer valuable insights for professional investors, capital market regulators and asset management companies.

This study is one of the pioneers attempting to test the time-series momentum effect in emerging economies. Besides, current research contributes to the escalating literature on risk-managed momentum by suggesting a novel revised time-series momentum approach.

The authors construct asset portfolios comprising small-sized companies and value stocks that provide with higher returns for the UK market based on a three-factor model with incorporated behavioural features. The authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. The paper aims to discuss these issues.

The authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions.

Value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. Overall, asset pricing models with embedded risk factors which entail either shares or dividends are logically circular behavioural simultaneities, thus invalid when tested and estimated by statistical methods as an outcome of the EMH.

In distinctive contrast to the recent literature, the authors show that the returns from a size factor model of small stocks tend to outperform big stocks especially in crisis periods. Moreover, the authors were able to demonstrate that value factor model is vulnerable to behavioural patterns, especially corporate fraud. In all of the above, the authors utilised a new proportional sorting methodology against the value ranking approach, commonly employed in empirical studies. Strong evidence is observed that portfolio performance based on various syntheses of allocated assets reveals counter-intuitive results related to the BE/ME, namely, that expected returns based on size and BE/ME produce significant errors and small firms retain consistently better returns. The reason might be the unusual accounting techniques many firms follow to receive extended capital after management decisions. Overall, asset pricing models with embedded risk factors which entail either shares or dividends are logically circular behavioural simultaneities, thus invalid when tested and estimated by statistical methods as an outcome of the EMH.