Tests of the Fama and French model in India

Gregory Connor and Sanjay Sehgal

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive market, size, and book-to-market factors in Indian stock returns. We find that cross-sectional mean returns are explained by exposures to these three factors, and not by the market factor alone. We find mixed evidence for parallel market, size and book-to-market factors in earnings; we do not find any reliable link between the common risk factors in earnings and those in stock returns. The empirical results, as a whole, are reasonably consistent with the Fama-French three-factor model.

JEL-codes: C15 (search for similar items in EconPapers)
Pages: 24 pages
Date: 2001-05
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

Downloads: (external link)
http://eprints.lse.ac.uk/25057/ Open access version. (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:25057

Access Statistics for this paper

More papers in LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library LSE Library Portugal Street London, WC2A 2HD, U.K.. Contact information at EDIRC.
Bibliographic data for series maintained by LSERO Manager ().