作者
Samreen Akhtar, Valeed Ahmad Ansari, Saghir Ahmad Ansari, Alam Ahmad
发表日期
2022
期刊
Complexity
卷号
2022
期号
1
页码范围
6768434
出版商
Hindawi
简介
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.
学术搜索中的文章
S Akhtar, V Ahmad Ansari, S Ahmad Ansari, A Ahmad - Complexity, 2022