A Study to Check the Applicability of Fama and French, Three-Factor Model on S&P BSE-500 Index
作者: Rupinder Katoch
刊名: International Journal of Management, IT and Engineering, 2018, Vol.8 (1), pp.84-93
来源数据库: Indianjournals.com
关键词: Fama French Three Factor ModelValue Effect(LMH)Size Effect(SMB)StocksMarket Beta
原始语种摘要: This paper empirically examines the Fama-French three-factor model for the Indian stock market. In this study, the Fama French Model have been examined by taking a sample of top 96 companies on basis of market capitalization in BSE for a study period of five years, ranging from Nov, 2012 to Nov, 2017. In order to validate the results, the sample selection was made on the basis of continuous presence in S&P BSE 500 index for at least five years without fail. The study showed that market betas do not explain expected returns which are inconsistent with CAPM. The study observes a significant and zero intercept viz; portfolio returns are not being explained by factors outside of SMB and LMH. The size (SMB)-and value (LMH)-factors as surrogates for non-market-specific risk should have positive...
全文获取路径: 印度期刊网 

  • French 法语法国的法语的
  • returns 返回粉末
  • market 市场
  • capitalization 以大写字母开头
  • intercept 截断
  • expected 预期
  • CAPM Computer-Aided Patient Management
  • inconsistent 不相容
  • stock 岩株
  • SMB 服务器信息块