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Tests of the Fama and French model in India

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
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 379
Date Deposited: 28 Aug 2009 13:42
URL: http://eprints.lse.ac.uk/25057/

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