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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
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