Size and value premiums in the Indian stock market Report as inadecuate




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Abstract

The poor empirical record of the CAPM paved the way towards the development of multi-factor asset pricing models. The three-factor model of Fama and French 1993 is regarded as a ground-breaking multi-factor asset pricing model. This paper examines the performance of the three-factor model of Fama and French 1993 in the Indian stock market for the period 2000-2012 using BSE-500 stocks as sample. The results suggest the presence of significant size and value premiums in the Indian stock market during the sample period. The three-factor model performs better than the CAPM, as the GRS test is unable to reject it.



Item Type: MPRA Paper -

Original Title: Size and value premiums in the Indian stock market-

English Title: Size and value premiums in the Indian stock market-

Language: English-

Keywords: asset pricing, Fama-French three factor model, Indian stock market-

Subjects: G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates-





Author: Aziz, Tariq

Source: https://mpra.ub.uni-muenchen.de/60451/



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