Explaining the Cross Section of Expected Stock Returns: An Application of Fama and French Model for India.
In: Finance India, Jg. 22 (2008-09-01), Heft 3, S. 923-935
academicJournal
Zugriff:
Investors and financial researchers have paid considerable attention during the last few years to the new equity markets that have emerged around the world. Practitioners all over world use a plethora of models in their portfolio selection process and in their attempt to assess the risk exposure to different assets. Fama and French (1992) pointed out that ha the presence of size, book-to-market, leverage and E/P, β does not have any power to explain the average cross section of stock returns..In this paper we have tested their findings for India. We formed portfolios on the basis of size, book-to-market, E/P & market β and carried out regression analysis of monthly average stock returns on market β, size, book-to-market, leverage and E/P. The study supports Fama and French , hypothesis, The result suggests that in the multivariate analysis, book-to- market equity, and leverage have significant explanatory power. However, market β has insignificant explanatory power. [ABSTRACT FROM AUTHOR]
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Titel: |
Explaining the Cross Section of Expected Stock Returns: An Application of Fama and French Model for India.
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Autor/in / Beteiligte Person: | DASH, RANJAN KUMAR ; SUMANJEET |
Zeitschrift: | Finance India, Jg. 22 (2008-09-01), Heft 3, S. 923-935 |
Veröffentlichung: | 2008 |
Medientyp: | academicJournal |
ISSN: | 0970-3772 (print) |
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