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MARKET

PROJECT REPORT

Rohit Dhanda

2748

Under guidance of

(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.

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

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 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 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.

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.

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

Following data has been collected from the ACE Equity database for the

period of 2010-2014 of the BSE 500 companies

Price/book value (year-end)

Share price (month end closing price)

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

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.

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

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

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

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

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

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.

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

[Book]: Tata McGraw-Hill, 2007.

11

insignificant.

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.

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.

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

From the regression of average returns for all portfolios, the following

hypotheses are tested:

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.

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.

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

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

H1: The coefficient SMB is significant.

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.

H1: The coefficient HML is significant.

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.

15

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;

H1: The coefficient WML is significant.

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

17

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.

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

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