经济
资本资产定价模型
计量经济学
库存(枪支)
数学
金融经济学
地理
考古
作者
Samreen Akhtar,Valeed Ahmad Ansari,Sajid Ali Ansari,Alam Ahmad
出处
期刊:Complexity
[Hindawi Limited]
日期:2022-07-20
卷期号:2022: 1-12
摘要
This study compares the three-factor model (F&F model) proposed by Eugene Fama and Kenneth French with Daniel and Titman’s Characteristics Model (D&T model) using the data of Indian stock returns for the period of 25 years from 1993 to 2018. Three-way sorting (3 × 2 × 2) of stocks based on the B/M ratio and size of the firms, and then by SMB, HML, or ex-ante β loadings, is formulated to design thirty-six portfolios. Regression and rolling regression are applied to the data under study. Results obtained by the F&F model, despite its shortcomings, are found more conclusive than the D&T model for distinguishing between characteristics and covariances for returns on Indian stock. This study favors the F&F model over the D&T model.
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