Connor, Gregory and Sehgal, Sanjay (2001) Tests of the Fama and French model in India. Discussion paper, 379. Financial Markets Group, London School of Economics and Political Science, London, UK.
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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.
|Item Type:||Monograph (Discussion Paper)|
|Additional Information:||© 2001 The Authors|
|Library of Congress subject classification:||H Social Sciences > HG Finance
H Social Sciences > HB Economic Theory
|Sets:||Research centres and groups > Financial Markets Group (FMG)
Collections > Economists Online
Departments > Economics
Collections > LSE Financial Markets Group (FMG) Working Papers
|Date Deposited:||28 Aug 2009 13:42|
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