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Fama-French Three Factors Model in Indian Mutual Fund Market

Author

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  • N. S. Santhi
  • K. Balanaga Gurunathan

Abstract

Tax Saving Mutual Fund Schemes were established with the objective of inviting Indian Tax assessees into the stock market-oriented investment. Tax saving mutual fund is an avenue which offers an investor the opportunity to avail tax exemption on investment along with diversified risk and market-related return. All Tax Saving Mutual Fund Schemes have same the objective but each scheme differs in returns produced and risks involved. The mutual fund performance is based on the performance of market and there is no assurance on return of mutual fund investments. As such, an analysis have been made in this paper to measure the performance of Indian Mutual funds market by using Fama French three factor model. In particular, 32 growth-oriented open-ended Tax Saving Mutual Fund Schemes have been taken for the study. The performance of the TSMF has been compared with the market benchmark S&P CNX Nifty. It is found that there is a difference between expected return and actual return of mutual funds. It is also found that there are certain mutual fund schemes have underperformed than the market benchmark. Not all the mutual fund schemes are safe and secured. It is the responsibility of the investors to find the better performing funds.

Suggested Citation

  • N. S. Santhi & K. Balanaga Gurunathan, 2014. "Fama-French Three Factors Model in Indian Mutual Fund Market," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 1(1), pages 1-5.
    • Handle: RePEc:aoj:ajeaer:v:1:y:2014:i:1:p:1-5:id:185
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    Cited by:

    1. Nahzat Abbas & Jahanzeb Khan & Rabia Aziz & Zain Sumrani, 2015. "A Study to Check the Applicability of Fama and French, Three-Factor Model on KSE 100-Index from 2004-2014," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 6(1), pages 90-100, January.
    2. Chung-Yim Yiu & Chuyi Xiong & Ka-Shing Cheung, 2022. "An Extended Fama-French Multi-Factor Model in Direct Real Estate Investing," JRFM, MDPI, vol. 15(9), pages 1-14, September.
    3. Mazurina Mohd Ali & Nur Shazwani Ab Hamid & Erlane K Ghani, 2019. "Examining the Relationship Between Enterprise Risk Management and Firm Performance in Malaysia," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 10(3), pages 239-251, May.
    4. Shobhit Goel & Pawan Kumar, 2024. "Indian Mutual Fund Industry: Is 2014 A Turning Point?," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(3), pages 527-556, July.

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