Download or read book A Re-Examination of Factors Affecting Returns in Indian Stock Market written by Chandra Prakash Gupta and published by . This book was released on 2009 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper evaluates the return generating process for the Indian stock market implied by general multi-factor model and the Fama-French three-factor model in specific. It tests systematically and robustly, using a large sample data pooled from wide range of companies and periods, the relevance of Fama-French three-factor model in explaining the cross sectional differences in returns in Indian stock market,. The empirical results show that the Indian equity market exhibits a strong size effect and value effect which are consistent with the findings of Fama and French (1996) for US portfolios and Sehgal (2003) for Indian stocks. Thus, it provides an evidence of the pervasiveness of the Fama-French three-factor model in explaining the cross sectional differences of stock returns. This study may provide a strong support for a broader and generalized asset pricing model having multiple risk factors.