Size and value premiums in the Indian stock market

Tariq Aziz and Valeed Ahmad Ansari

MPRA Paper from University Library of Munich, Germany

Abstract: The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The three-factor model of Fama and French (1993) is regarded as a ground-breaking multi-factor asset pricing model. This paper examines the performance of the three-factor model of Fama and French (1993) in the Indian stock market for the period 2000-2012 using BSE-500 stocks as sample. The results suggest the presence of significant size and value premiums in the Indian stock market during the sample period. The three-factor model performs better than the CAPM, as the GRS test is unable to reject it.

Keywords: asset pricing; Fama-French three factor model; Indian stock market (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2014-10
New Economics Papers: this item is included in nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/60451/1/10.pdf original 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:pra:mprapa:60451

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().