IDEAS home Printed from https://ideas.repec.org/a/hin/complx/6768434.html
   My bibliography  Save this article

Fama–French Three-Factor Versus Daniel-Titman Characteristics Model: A Comparative Study of Asset Pricing Models from India

Author

Listed:
  • Samreen Akhtar
  • Valeed Ahmad Ansari
  • Saghir Ahmad Ansari
  • Alam Ahmad
  • Sheng Du

Abstract

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.

Suggested Citation

  • Samreen Akhtar & Valeed Ahmad Ansari & Saghir Ahmad Ansari & Alam Ahmad & Sheng Du, 2022. "Fama–French Three-Factor Versus Daniel-Titman Characteristics Model: A Comparative Study of Asset Pricing Models from India," Complexity, Hindawi, vol. 2022, pages 1-12, July.
    • Handle: RePEc:hin:complx:6768434
    DOI: 10.1155/2022/6768434
    as

    Download full text from publisher

    File URL: http://downloads.hindawi.com/journals/complexity/2022/6768434.pdf
    Download Restriction: no
    File URL: http://downloads.hindawi.com/journals/complexity/2022/6768434.xml
    Download Restriction: no
    File URL: https://libkey.io/10.1155/2022/6768434?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hin:complx:6768434. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Mohamed Abdelhakeem (email available below). General contact details of provider: https://www.hindawi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.