Corpus ID: 17622731

Tests of the Fama and French model in India

@article{Connor2001TestsOT,
  title={Tests of the Fama and French model in India},
  author={G. Connor and S. Sehgal},
  journal={LSE Research Online Documents on Economics},
  year={2001}
}
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… Expand
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