Size and value premiums in the Indian stock market
Tariq Aziz and
Valeed Ahmad Ansari
MPRA Paper from University Library of Munich, Germany
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)
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