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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Abstract
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) |
|---|---|
| Official URL: | http://fmg.lse.ac.uk |
| 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 |
| Identification Number: | 379 |
| Date Deposited: | 28 Aug 2009 13:42 |
| URL: | http://eprints.lse.ac.uk/25057/ |
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