The present study is designed to empirically test the three factor model suggested by Fama and French on Indian stock market and to document the evidences as to how firm characteristics are used as a better way to explain the stock return behavior. Fama-French (1993) used value factors to elaborate the explanatory power of CAPM. The present study has considered companies listed under the BSE 500 index series for the empirical tests. The overall findings indicated that the three factor model given by Fama and French is more powerful, than its other variants of taking one or two factors in explaining the variability in the returns of all six portfolios.
BerkJ. (1995), “A Critique of Size Related Anomalies”, Review of Financial Studies, Vol. 8, pp. 275–286.
2.
BerkJ. (1996), “An Empirical Re-examination of the Relation between Firm Size and Return”, Revised Working Paper, School of Business Administration, University of Washington.
3.
ChakrabartiGagariSenChitrakalpa, (2008), “November Effect: An Example of Calendar Anomaly in Indian Stock Market,” Available at SSRN: http://ssrn.com/abstract=1121606.
4.
DanielK.TitmanS. (1997), “Evidence on the Characteristics of Cross-Sectional Variation in Stock Returns,”Journal of Finance, Vol. 52, pp. 1–33.
5.
MichailDrew E.NaughtonTonyVeeraraghavanMadhu (2003), “Firm Size, Book-to-market equity and security returns: Evidence from the Shanghai Stock Exchange”, Australian Journal of Management, Vol. 28 (2), pp. 119–140.
6.
FamaF. EugeneKennethFrench R. (1992), “The Cross-Section of Expected Stock Returns,”Journal of Finance, Vol. 47, pp. 427–465.
7.
FamaF. EugeneKennethFrench R., (1993), “Common Risk Factors in the Returns on Stocks and Bonds,”Journal of Financial Economics, Vol. 33, pp. 3–65.
8.
FamaF. EugeneKennethFrench R., (1995), “Size and Book-to-Market Factors in Earnings and Returns,”Journal of Finance, Vol. 50, pp. 131–155.
9.
FamaF. EugeneKennethFrench R. (1996), “Multifactor Interpretations of Asset Pricing Anomalies,”Journal of Finance, Vol. 51, pp. 55–84.
10.
GauntClive (2004), “Size and Book to Market Effects and the Fama French Three Factor Asset Pricing Model: Evidence from the Australian Stock market”, Accounting and Finance, Vol. 44, pp. 27–44.
11.
KimDongcheol (1997), “A Re-examination of Firm Size, Book-to-Market and Earnings Price in the Cross-Section of Expected Stock Return”, The Journal of Financial and Quantitative Analysis, Vol. 32 (4), pp. 463–489.
12.
PandeyI. M. Mohan (2001), “The Expected Stock Returns of Malaysian Firms: A Panel Data Analysis”, IIMA Working Paper No. 2001-09-01, September, Available at SSRN: http://ssrn.com/abstract=299913 or DOI: 10.2139/ssrn.299913.
13.
ParikhAnokhi (2009). “Calendar Anomalies in the Indian Stock Market,” March 3, Available at SSRN: http://ssrn.com/abstract=1352225.
14.
SehgalSTripathiV (2005) “Size Effect in Indian Stock Market: Some Empirical Evidence”,Vision-The Journal of Business Perspective, Vol. 9 (4), pp. 27–42.
15.
VassalouM.XingY., (2004), “Default Risk in Equity Returns,”Journal of Finance, Vol. 59, pp. 831–868.
