Using new data on returns and risk factors the paper considers the stock performance on the Japanese market, which is the second largest in the world and operates under unique macroeconomic conditions. We find that the CAPM model is not an adequate approach for the Japanese market. The Carhart...

We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993-December 2013 period. We differ from the previous studies on this topic in the Indian market in several significant ways. First, we cover a greater number of firms relative to the existing...

We compute the Fama-French three- and five-factor and momentum factor returns for Indian equities between October 2006 and February 2022 using data from Refinitiv Datastream following two breakpoint schemes. We show a high correlation between our factor return estimates and those reported in the...