Momentum Effect in Indian Mid-Cap Equities: Evidence from the NSE Midcap 150

This paper examines the presence and persistence of the momentum effect in Indian mid-cap equities using monthly return data for 130 constituent stocks of the NSE Nifty Midcap 150 index over the period April 2019 to March 2024. Employing a two-factor regression framework incorporating market excess return and the Winners Minus Losers (WML) momentum factor as the primary specification, and testing robustness through the full Carhart (1997) four-factor model over a data-constrained sub-period, we construct momentum-sorted quintile portfolios and test whether past return momentum generates statistically significant risk-adjusted returns. The WML factor earns a mean return of 1.470% per month, equivalent to 19.14% on an annualised basis, confirming the presence of a robust momentum premium in the Indian midcap segment. The winner portfolio (P5) exhibits a strongly positive and statistically significant WML factor loading of +0.472 (t = 5.908), while the loser portfolio (P1) loads negatively at-0.790 (t =-9.755), both significant at the 1% level. These findings persist in the post-COVID sub-sample (April 2020 to March 2024), with the winner portfolio's momentum loading strengthening to +0.517 (t = 5.146), suggesting that momentum profits are not confined to any specific market regime. Comprehensive diagnostic testing confirms the validity of OLS assumptions across all specifications. Our results contribute to the growing body of empirical asset pricing literature on Indian equity markets and carry implications for investment practitioners, market regulators, and the broader debate on market efficiency in emerging economies.