Empirical test of the three factor model Indian stock market

By:

CHAWLA, DEEPAK

Contributor(s):

BASU, DEBARATI

Material type:

Mixed materialsPublication details: 2012Description: 457-469Subject(s):

EMPIRICAL TEST

NLM classification:

332.6322

In: FINANCE INDIAMSummary: With increasing doubts over tha capabilities of the existing asset pricing models, Fama and French in the 1990s, developed the Three Factor Model (TFM) aas an extention to CAPM with two added premiums: size and value. This paper applies TFM theoryto India to provide an insight into its validity in an emerging market.Thus it can be conducted that TFM is not good fit in India over the chosen sample period.

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Holdings
Item type	Current library	Call number	Vol info	Status	Date due	Barcode
Periodicals/Magazines	SSCBS Library		26/2	Available		P14522

With increasing doubts over tha capabilities of the existing asset pricing models, Fama and French in the 1990s, developed the Three Factor Model (TFM) aas an extention to CAPM with two added premiums: size and value. This paper applies TFM theoryto India to provide an insight into its validity in an emerging market.Thus it can be conducted that TFM is not good fit in India over the chosen sample period.

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