English, Article, Journal or magazine article edition: Tests of the Fama Model in India Gregory Connor; Sanjay Sehgal

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Bookmark: http://trove.nla.gov.au/version/44634
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Tests of the Fama Model in India
Author
  • Gregory Connor
  • Sanjay Sehgal
Physical Description
  • preprint
Notes
  • 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 India stock returns. We find that cross-section means 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.
  • RePEc:fmg:fmgdps:dp379
Language
  • English
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