Tests of the Fama and French model in India
Gregory Connor () and
LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library
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: F3 G3 J1 (search for similar items in EconPapers)
Pages: 24 pages
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:25057
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