You are on page 1of 23

FOUR FACTOR PRICING

MODEL IN INDIAN EQUITY


MARKET
PROJECT REPORT
Rohit Dhanda
2748
Under guidance of

Dr. V.K Vasal PH.D. (Accounting)


(Internal Supervisor)

&
CA Aarsh Dua
Manager, Corporate Finance
HCL Technologies Ltd.
(External Supervisor)

Executive Summary

The aim of this project is to test the efficiency of Carhart four factor model
in Indian equity market over the period of 3 years from April 2011-March
2014. The comparative performances of capital asset pricing model
(CAPM), Fama-French three factor model, and Fama-French four factor
model is also examined. Each of these three models is regressed on 5
different sets of portfolios, i.e., monthly excess returns of five portfolios
each of size, B/M, momentum and six portfolios each of size-B/M and sizemomentum are used as dependent variables in time-series regressions.
Confronted with the excess returns of the portfolios, the Carhart 4 factor
model outperforms both CAPM and Fama French three factor model based
on the results of adjusted R-squared values and minimum pricing error in
the models.

Contents
Certificate
Acknowledgement
Executive Summary....................................................................................1
List of Tables................................................................................................3
1. Introduction...........................................................................................4
1.1 Objective............................................................................................4
1.2 Project structure.................................................................................4
2. Literature review...................................................................................5
2.1 Theoretical Background......................................................................5
2.2 Research paper...................................................................................7
3. Data and Methodology..........................................................................8
3.1 Portfolios formation for calculating SMB, HML and WML....................8
3.2 Calculation of four factors (Rm Rf, SMB, HML and WML)...................9
3.3 Calculation of four factors free from correlation...............................10
3.4 Portfolios formation for dependent variables of regression..............11
3.5 Regression analysis..........................................................................11
4. Findings and discussion.......................................................................12
5. Summary and Conclusion....................................................................18
Bibliography..............................................................................................19

List of Tables
Correlation matrix of original 4 factors
Correlation matrix after auxiliary regression
Regression summary for CAPM model
Regression summary for Fama French 3 factor model
Regression summary for Carhart 4 factor model
Comparison of goodness of fit for all three models

9
9
11
13
14
15

1. Introduction
Asset pricing has always been one of the main areas of modern financial
economics. It can be claimed that the introduction of capital asset pricing
model (CAPM) by Sharpe (1964), Lintner (1965), and Black (1972) made a
breakthrough in the area of financial economics. Even today, it is apparent
that the CAPM is one of the most widely used models among
academicians and practitioners. The fact that CAPM can be used in
performance evaluation, estimating the cost of capital, selecting
portfolios, and measuring abnormal returns etc., is one of the main
reasons why this model is so much appreciated. Despite its popularity and
success, since its introduction there have always been criticism, with
claims that CAPM is not sufficient to explain the variations in excess
returns. In line with this argument Fama and French (1992, 1993 and
1996) showed that there is a relationship between size and average return
on one side, and B/M and average return on the other side. Moving from
this claim, they laid the foundations of their three factor model by adding
two more risk factors to CAPM. Fama-French model gained big importance
in modern finance as CAPM. Carhart constructed his own 4 factor model
(1997) using Fama and French 3 factor model and Jagadeesh and Titmans
(1993) one year momentum anomaly and found that adding momentum
factor noticeably reduced pricing errors.

1.1 Objective
The main aim of this project is to examine how well CAPM, Fama and
French 3 factor model and Carhart 4 factor model capture average returns
for portfolios formed on size, value, momentum, size-value and sizemomentum. For examining the efficiency of these models, hypotheses to
be tested are significance of intercept term, coefficients of all four factors
and goodness of fit (adjusted R2) for all models.

1.2 Project structure


In line with this objective, the rest of the project is organized as follows:
The next chapter gives some theoretical background in detail regarding
the development of four factor model starting from the invention of CAPM.
The second section gives main points of the international studies for
Fama-French models and Carhart 4 factor model
The third chapter explains the data and methodology used in this project.
Data collection, portfolio formation, and factor construction methods are
described in detail.
Chapter four continues with regression results of CAPM, three factor and
Carhart four factor model for all portfolios formed on basis of size, value,
momentum, size-value and size momentum. In chapter five key findings
are summarized.

2. Literature review
2.1 Theoretical Background
One of the main attempts of the financial economics has been to describe,
predict or assess the relation between risk and return since 1950s. After
Markowitz introduced his renowned and famous mean-variance model in
1952, many models were developed based on his theorem. One of the
most important models based on his theorem was CAPM (Capital Asset
Pricing Model) which was introduced by Sharpe (1964), Lintner (1965),
and Black (1972). Since its introduction, it still continues to constitute one
of the cornerstones of modern finance theory. It is widely used in
performance evaluation, estimating the cost of capital, selecting
portfolios, and measuring abnormal returns. To be able to comprehend
CAPM better, we should examine some details about the development and
assumptions of the model. In his paper Capital Asset Prices: Theory of
Market Equilibrium under Conditions of Risk (1964), William Sharpe put
forward an argument to construct a relation between average return and
standard deviation. He claimed that in equilibrium there will be a simple
linear relationship between the expected return and standard deviation of
return for efficient combinations of risky assets. (Sharpe, 1964). This
relationship was described by beta, which implied the systematic risk.
Each individual asset or portfolio has a beta value, which shows the
riskiness of that asset or portfolio relative to the riskiness of the market. In
other words, this beta shows the level of responsiveness to the
movements in market. The assumptions underlying CAPM are as follows:
1. All investors are single-period expected utility of terminal wealth
maximizers who choose among alternative portfolios on the basis of
mean and variance (or standard deviation) of return.
2. All investors can borrow or lend an unlimited amount at an
exogenously given risk free rate of interest and there are no
restrictions on short sales of any asset.
3. All investors have identical subjective estimates of the means,
variances and covariance of return among all assets.
4. All assets are perfectly divisible and perfectly liquid, i.e., all assets are
marketable and there are no transaction costs.
5. There are no taxes.
6. All investors are price takers.
7. The quantities of all assets are given (Jensen, 1972).
5

CAPM can be described by the following equation:


Expected Rate of Return:
r=R f + ( Rm Rf )
Where,
Rf is the risk-free interest rate is what an investor would expect to receive
from a risk-free investment.
is a stock beta is used to mathematically describe the relationship
between the movements of an individual stock versus the entire market. It
is sensitivity of the expected excess asset returns to the expected excess
market returns
Rm is the expected market return is the return the investor would expect
to receive from a broad stock market indicator such as the S&P 500 Index,
BSE 500 Index, NIFTY Index etc.
To explain the pricing anomalies not captured by CAPM, Fama French
(1993), developed a three factor asset pricing model which states that the
expected return on a portfolio in excess of the risk free rate is explained
by the sensitivity of its return to three factors:
(i)
(ii)
(iii)

the excess return on a broad market portfolio,


the difference between the return on a portfolio of small stocks and
the return on a portfolio of big stocks (SMB) and
the difference between the return on a portfolio of high-book-tomarket stocks and the return on a portfolio of low-book-to- market
stocks (HML), where the last two are mimicking size and value
factors respectively. They then added two factors to CAPM to reflect
a portfolio's exposure to these two classes:

r=R f + ( K mR f ) + s . SMB + v . HML+


r is the portfolio's expected rate of return, R f is the risk-free return rate,
and Km is the return of the market portfolio. The "three factor" is
analogous to the classical but not equal to it, since there are now two
additional factors to do some of the work.
SMB stands for "Small [market capitalization] Minus Big" and
HML for "High [book-to-market ratio] Minus Low";
They measure the historic excess returns of small caps over big caps and
of value stocks over growth stocks. These factors are calculated with
combinations of portfolios composed by ranked stocks (B/M ranking, Cap
ranking) and available historical market data.

The Carhart four-factor model is an extension of the FamaFrench


three-factor model including a momentum factor, also known in the
industry as the MOM factor (momentum). Momentum in a stock is
described as the tendency for the stock price to continue rising if
it is going up and to continue declining if it is going down. The
MOM can be calculated by subtracting the equal weighted average of the
highest performing firms from the equal weighed average of the lowest
performing firms, lagged one month (Carhart, 1997). A stock is showing
momentum if its prior 12-month average of returns is positive.
EXR t= c + mkt EXM K T t + HML HM Lt + SMB SMB t + UMD UMD t +e t
Where, EXRt is the monthly return to the asset of concern in excess of the
monthly t-bill rate. We typically use these three models to adjust for risk.
In each case, we regress the excess returns of the asset on an intercept
(c) and some factors on the right hand side of the equation that attempt
to control for market-wide risk factors. The right hand side risk factors are:
the monthly return of the CRSP value-weighted index less the risk free
rate (EXM KTt), monthly premium of the book-to-market factor (HML) the
monthly premium of the size factor (SMB), and the monthly premium on
winners minus losers (UMD) from Fama-French (1993) and Carhart (1997).
SMB is a zero-investment portfolio that is long on small capitalization (cap)
stocks and short on big cap stocks. Similarly, HML is a zero-investment
portfolio that is long on high book-to-market (B/M) stocks and short on low
B/M stocks, and UMD is a zero-cost portfolio that is long previous 12month return winners and short previous 12-month loser stocks.

2.2 Research paper


Eugene F. Fama, Kenneth R. French (2011), Size, value, and momentum
in international stock returns, Journal of Financial Economics
This paper examines international stock returns, with two goals. The first
is to detail the size, value, and momentum patterns in average returns for
developed markets. Their main contribution is evidence for size groups.
Most prior work on international returns focuses on large stocks. Sample
covers all size groups, and tiny stocks (microcaps) produce challenging
results. Their second goal is to examine how well Fama and French 3
factor model and Carhart 4 factor model capture average returns for
portfolios formed on size and value or size and momentum. They
examined local versions of the models in which the explanatory returns
(factors) and the returns to be explained are from the same region. For
perspective on whether asset pricing is integrated across regions, they
also examine models that use global factors to explain global and regional
returns.
In our project, this paper is replicated on Indian equity market as here
efficiency of traditional CAPM, Fama French 3 factor and Carhart 4 factor
7

model is examined on portfolios formed on size, value, momentum, sizevalue, size-momentum.

3. Data and Methodology


Following data has been collected from the ACE Equity database for the
period of 2010-2014 of the BSE 500 companies

Market capitalization (year-end)


Price/book value (year-end)
Share price (month end closing price)

The above data is collected for 359 companies whose market


capitalization and price to book values data is available on ACE Equity.
The data for risk-free rate (91 day T-bill) is collected from RBI website. The
weekly 91 day T-bill data is converted to monthly data by taking average
of all weeks for a month and then annual rate is converted to monthly rate
of return by dividing by 12.
Market rate of return is calculated on monthly returns of BSE 500 closing
values. The data is collected from BSE website.
The portfolios are made from April to March every year.
The methodology consists of 5 parts:
1. Portfolios formation for calculating SMB, HML and WML
2. Calculation of Rm Rf, SMB, HML and WML
8

3. Calculation of four factors free from correlation


4. Portfolios formation for dependent variables of regression, i.e., size
sorted, value sorted, momentum sorted, size-value sorted and sizemomentum sorted portfolios.
5. Regression analysis.

3.1 Portfolios formation for calculating SMB, HML and


WML
These factors are calculated by differently sorting all the companies on
basis of size, value and 1 year returns.
Portfolio for calculating SMB
According to the research paper by Fama-French, all the companies are
divided into 2 groups, big and small, on the basis of median of year end
market capitalization. The companies with market capitalization greater
than median are termed as big companies and rest are termed as small
companies.
This process should be done for all the 3 years. Thus we get two
portfolios of big and small on basis of each year market capitalization.
Portfolio for calculating HML
According to the research paper by Fama-French, all the companies are
divided into 3 groups, high book to market, neutral and low book to
market ratios, on the breakpoints of 30-40-30 percentiles of year end
book to market ratios. Top 30%ile are high B/M companies, next 40%ile
companies are neutral and last 30% are low B/M companies1.
This process should be done for all the 3 years. Thus we get three
portfolios of high, neutral and low B/M on basis of each year book to
market ratios.
Portfolio for calculating WML
All the companies are divided into 2 groups, winner and losers, on the
basis of median of momentum returns for previous 1 year. These
returns are calculated from previous year march to current year march.
The companies with market capitalization greater than median are
termed as winner companies and rest are termed as loser companies.
This process should be done for all the 3 years. Thus we get different
portfolios of winners and losers on basis of each year market
capitalization.

1 Companies with negative book to market ratio are also included in low book to
market companies for calculating HML.
9

3.2 Calculation of four factors2 (Rm Rf, SMB, HML and


WML)

Find the monthly returns for all the companies by using formula:
R1 = (P1 P0)/P0
Where
R1 is return for 1st month
P1 is stock price for 1st month
P0 is stock price for month 0.
Thus using this formula monthly returns for all the companies are
calculated.

For SMB calculation, average returns for all the small companies and
large companies are calculated. The difference between average
return of small companies and avg. return for large companies is
SMB factor for each month.
SMB = Avg. return of small companies Avg. return of large
companies

For HML calculation, difference between average returns of high B/M


ratios companies and low B/M ratio companies are calculated.
HML = Avg. return of high B/M companies avg. return of
low B/M companies
Similarly, WML is difference between average return of winner
companies and loser companies.
WML = Avg. return of winners avg. return of losers
Market rate of return (RM) is calculated by using;
R1 = (P1 P0)/P0
Where
R1 is return for 1st month
P1 is closing value of BSE 500 index for 1st month
P0 is closing value of BSE 500 index for month 0.
Risk free rate of return (RF) is weekly value issued by RBI, so in order
to calculate monthly value the average of all weekly values is taken
for each month. Then these monthly values are divided by 12 for
getting the monthly returns.
Rm Rf is calculated by taking difference of R m and Rf calculated
from above steps.
Thus all these factors are calculated for the period of 3 years from
April 2011 to March 2014. These are used in right hand side of

2 All of 4 factors are independent of each other, i.e., SMB is not impacted by
value and momentum and similarly HML and WML depend only on value and
momentum returns respectively.
10

regression as independent variable for portfolios formed on basis of


size, value, momentum, size-value and size-momentum.

3.3 Calculation of four factors free from correlation


The 4 factors calculated above are checked for correlation, as we are
doing multivariate regression, thus in order to have data free from
multi-collinearity, the correlation among these 4 factors should be
minimum.
Correlation matrix of original 4 factors

Thus, initially there is high correlation among the factors.


In order to remove this, Auxiliary Regression3 is used. It is method of
removing the correlation by regressing the dependent variable with
independent variables and the residuals of regression are the parts of
dependent variable not explained by independent variables. These
residuals are then used in place of that dependent variable.
In this project, HML and WML are having high correlation with R m - Rf
and SMB. Thus both HML and WML are regressed with R m - Rf and SMB
and the residuals are taken. The correlation matrix after auxiliary
regression is given below:
Correlation matrix after auxiliary regression

Hence now all values are very small except -0.01133 and 0.0598. These
values are tested for 5% level of significance and t test is performed.

H0 : The correlation coefficient is insignificant for SMB and Rm - Rf.


H1 : The correlation coefficient is insignificant for SMB and Rm - Rf.
Since t critical for two tailed test is 2.03 for 34 degrees of freedom and
t value for coefficient is t= -0.066. Thus, |t statistic| < t critical

3 Auxiliary regression concept is taken from Gujarati Damodar N. Basic Econometrics


[Book]: Tata McGraw-Hill, 2007.

11

Hence, null hypothesis is not rejected and correlation coefficient is


insignificant.

H0 : The correlation coefficient is insignificant for resid HML and resid


WML.
H1 : The correlation coefficient is insignificant for resid HML and resid
WML.
Since t critical for two tailed test is 2.03 for 34 degrees of freedom and
t value for coefficient is t = 0.349. Thus, |t statistic| < t critical
Hence, null hypothesis is not rejected and correlation coefficient is
insignificant.
Hence these 4 factors are free from correlation and thus regression
results from these will be free from multi-collinearity.

3.4 Portfolios formation for dependent variables of


regression
The 5 portfolios are made for each of size, value and momentum based
on equal percentile of all portfolios.
2*3 portfolios on basis of size- value and size momentum are made
where size is divided by median, value and momentum by 30%ile
70%ile.
Six portfolio made from size value are big-high b/m, big-neutral, biglow b/m, small-high b/m, small-neutral, small-low b/m.
Similarly 6 portfolios made from size-momentum are; winner-big,
neutral-big, loser-big, winner-small, neutral-small and loser-small.
The average returns for each portfolio calculated separately. The
average returns for each of them are used as dependent variable for
regression with the 4 factors.

3.5 Regression analysis


The excess returns of portfolios sorted on size, value, momentum, sizevalue and size momentum are regressed with R m-Rf (excess market
return) to get the results for capital asset pricing model.
For Fama and French 3 factor model testing, excess returns of portfolios
are regressed with Rm-Rf (excess market return), SMB (small minus big)
and HML (high book to market minus low book to market).
For testing efficiency of Carhart 4 factor model, the excess returns of
portfolios are regressed with all 4 factors namely, R m-Rf (excess market
return), SMB (small minus big), HML (high book to market minus low
book to market) and WML (winners minus losers).
The results of regression of regression are discussed in next section.

12

4. Findings and discussion


From the regression of average returns for all portfolios, the following
hypotheses are tested:

H0: The intercept term is insignificant.


H1: The intercept term is significant and thus there is pricing error.
With 5% level of significance, the portfolios with p value of intercept
less than 0.05 are having insignificant intercept and thus have pricing
errors. Here pricing error is found in small (size) portfolio, winner
portfolios in momentum sorted, winner-small and winner-big portfolio in
size-momentum sorted portfolios.

H0: The coefficient RM-Rf is insignificant.


H1: The coefficient RM-Rf is significant.
Coefficient of RM-Rf is significant in all the case, as the p value is zero in
all cases. This means that market factor explains the average portfolio
returns.
Although market factor is significant but it is unable to explain size
effect as there has been no substantial difference between beta
coefficient of small and large stock portfolios which indicates that
market risk of small firms is not substantially larger than that of large
firms.
The market model results show that the intercept value is low for the
high B/M portfolio as compared to the low B/M portfolio, suggesting
that low B/M stocks generate higher CAPM based risk adjusted extra
normal returns during the study period.

Regression summary for CAPM model

p values
Portfolio

size sorted
Big
p2
p3
p4
Small

intercep
t (a)

8.64E05
0.00019
0.00201
7
0.00040
1
0.02754

coefficie
nt Rm-Rf
(b)

(a)

(b
)

1.181

0.9642

1.263

0.9508

1.245

0.715

1.362
1.138

0.9492
0.0001

0
0

Adj.
R
squa
re
0.95
4
0.90
8
0.84
6
0.86
5
0.69
13

High b/m
P2
value (B/M)
sorted

P3
P4
low b/m

Winner
p2
momentu
m sorted

p3
p4
Loser

big - high
b/m
big - neutral
size b/m
sorted

size
momentu
m sorted

big - low b/m


small - high
b/m
small neutral
small - low
b/m

0.00592
2
0.00199
5
0.00601
6
0.00625
6
0.01899
9
0.01366
7
0.00886
1
0.00126
3
0.01138
7
0.00403
3
0.00494
4
0.00063
3
0.00347
9
0.00829
6
0.01091
1
0.03478
4

1.656

0.3284

1.365

0.7024

1.270

0.2679

1.003

0.0604

0.836

0.0607

0.941

0.0024

0.838

0.0144

1.134

0.7729

1.291

0.2311

1.927

0.5793

1.737

0.381

1.357

0.850

0.862

0.262

1.493

0.206

1.073

0.113

0.961

0.051

winner - big

0.007

0.893

0.0376

neutral - big

-0.002

1.111

0.5336

loser - big
winner small
neutral small

-0.002

1.864

0.6488

0.019

0.937

0.0049

0.008

1.101

0.2451

0.020

1.584

0.0504

loser- small

0.85
4
0.83
1
0.86
6
0.88
4
0.29
2
0.76
2
0.85
9
0.87
4
0.48
4
0.85
6

0.83
8
0.91
9
0.86
7
0.83
1
0.73
9
0.13
6
0.85
0
0.92
4
0.85
3
0.70
2
0.77
0
0.51
8

For Fama and French 3 factor model, the results obtained are as follows;
14

Apart from previous 2 hypotheses, 2 new hypotheses are tested;

H0: The coefficient SMB is insignificant.


H1: The coefficient SMB is significant.

SMB is significant factor in asset pricing under 5% level of significance.


Although it is insignificant for big stocks and loser stocks. Coefficient of
SMB increases as we move from big to small stocks. SMB increases as we
move from high b/m stocks to low b/m stocks. These patterns can also be
seen in size-sorted portfolios.

H0: The coefficient HML is insignificant.


H1: The coefficient HML is significant.

HML coefficient is significant for all portfolios except winner-big portfolio of


size-momentum sorted and big-low B/M of size-value sorted. HML
coefficient decreases as we move from high b/m to low b/m in value
sorted portfolios and similar pattern seen in size-value sorted portfolios.
Thus these factors are significant and adjusted R 2 is also increased which
implies Fama and French 3 factor model is superior to capital asset pricing
model.

Regression summary for Fama French 3 factor model

15

Next we regressed excess portfolio returns to four factors of Carhart 4


factor model, adding WML (winner minus loser) factor and the results
obtained are as follows;
The hypotheses tested are similar to previous regressions and the new
hypothesis to be tested is;

H0: The coefficient WML is insignificant.


H1: The coefficient WML is significant.

It is insignificant for winner-big, neutral-big, big-low B/M and small-high


B/M portfolios and for rest it is significant. The WML factor changes from
positive to negative values as we move from winner to loser portfolios.

16

Regression summary for Carhart 4 factor model

17

Comparison of goodness of fit for all three models

It is observed that as compared to big stocks, small stocks have larger


unexplained portion as they have small adjusted R2.
Thus from significance of SMB (small minus big), HML (high minus low),
WML (winner minus loser) and higher adjusted R2 it is evident that Carhart
4 factor model is better model than Fama and French 3 factor model and
Capital asset pricing model (CAPM).

18

Size effect
CAPM results show that the extra normal returns (after adjusting for
market risk) is 2.7% per month for small stock and 0.008% per month for
large stock portfolios. Small stock portfolios earn statistically significantly
positive extra risk adjusted returns confirming the size effect.
There has been no substantial difference between beta coefficient of small
and large stock portfolios which indicates that market risk of small firms is
not substantially larger than that of large firms. This is the reason why
CAPM fails to explain size effect.
Adjusted R2 is low for small stock portfolios vis-a-vis large stocks showing
that the portfolios of small stocks have a very large unexplained variation
in their returns. Fama-French 4 factor regressions show that both SMB
coefficients are significant.
However these factors only partially explain the size effect, as the small
size portfolio still provides an abnormal return of -1.4% per month which is
statistically significant. Thus FF 4 factor model fails for small companies.

Value effect
The market model results show that the intercept value is low for the low
B/M portfolio as compared to the high B/M portfolio, suggesting that low
P/B stocks generate higher CAPM based risk adjusted extra normal returns
during the study period. However, CAPM is unable to absorb cross
sectional differences on value sorted portfolios.
The h coefficient is negative (-0.686) for low BE/ME and positive (0.629)
for high BE/ME confirming the presence of value effect. The value effect is
very high and is very significant in explaining the portfolios.

Momentum effect
CAPM results show that intercepts for winner portfolios are statistically
significant. My findings confirm that market factor does not explain
momentum. This could be attributed to the fact that there is very small
difference in betas of the corner portfolios
The intercept of the winner portfolio is significant and provides an
abnormal return of 1.367% per month. The FF model fails to capture
momentum owing to the fact that loser portfolio tends to load more
heavily on value factor compared to winners portfolio which is in contrast
to risk theory.
Winner portfolio should have comprised of more distressed high B/M
stocks for providing a risk explanation. So winner stocks are growth
stocks. Further there is no significant difference between the sensitivity of

19

winner and loser portfolios to the size factor. WML factor is significant
under 5% level of significance in Indian market returns.

5. Summary and Conclusion


In this project we examine the efficiency of three pricing models, Capital
asset pricing model, Fama and French 3 factor model and Carhart 4 factor
model in explaining the average returns of the different portfolios formed
on the basis of size, value, momentum, size-value and size-momentum for
Indian companies listed on BSE 500 index.
From the findings, since WML (winner minus loser) factor in Carhart 4
factor model is coming to be statistically significant and coefficients of
other three factors for this model are also statistically comparable to
those from other 2 models, thus it is concluded that Carhart 4 factor
model is better than CAPM and Fama and French 3 factor model.

20

21

Bibliography
Carhart Mark M. (1997), On Persistence in Mutual Fund Performance, the
Journal of Finance
Sehgal Sanjay, Subramaniam Srividya, and Laurence Porteu De La
Morandiere (2012), A Search for Rational Sources of Stock Return
Anomalies: Evidence from India, International Journal of Economics and
Finance Vol. 4
Eugene F. Fama, Kenneth R. French (2011), Size, value, and momentum
in international stock returns, Journal of Financial Economics, SciVerse
Science Direct website

22