Connor, Gregory and Sehgal, Sanjay (2001) Tests of the Fama and French model in India. Financial Markets Group Discussion Papers (379). Financial Markets Group, The 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.ac.uk |
| Additional Information: | © 2001 The Authors |
| Divisions: | Financial Markets Group Economics |
| Subjects: | H Social Sciences > HG Finance H Social Sciences > HB Economic Theory |
| JEL classification: | C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods |
| Date Deposited: | 28 Aug 2009 13:42 |
| Last Modified: | 13 Sep 2024 19:45 |
| URI: | http://eprints.lse.ac.uk/id/eprint/25057 |
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