Does Size, Value and Seasonal Effects Still Persist in Indian Equity Markets?

Neharika Sobti

Vision, 2018, vol. 22, issue 1, 11-21

Abstract: This article is an attempt to re-examine the persistence of company fundamentals such as size and value effects along with seasonal anomalies, such as January, April and Diwali (November) effects, in explaining the cross-sectional variation in average return of portfolios in the Indian equity market. The study analysed 740–1530 companies on an average listed on NSE for the period of 1996–2016 taking Nifty 500 as the market index. The study follows the standard methodology of Fama and French (1993) in constructing size and value mimicking portfolios but the originality comes from formulating 30 size–value-sorted portfolios with size sorted on deciles. An attempt has been made to compare single-index model with Fama–French Three-Factor (FFTF) model in the present context. The study finds evidence of both size and value effect in India and non-existence of January, April and Diwali effects in India for the given period as found previously by Gupta and Kumar (2007), Connor and Sehgal (2001) and Tripathi (2008). The FFTF model does better job than single-index model.

Keywords: Single Factor Model; Fama–French Three-Factor Model; Size; Value; January Effect; April Effect; Diwali Effect (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:sae:vision:v:22:y:2018:i:1:p:11-21

DOI: 10.1177/0972262917750230

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