Agarwalla, Sobhesh Kumar; Jacob, Joshy; Varma, Jayanth R. - Economics, Indian Institute of Management
We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993 - December 2013 period using data from CMIE Prowess. We differ from the previous studies on this topic, in the Indian market, in several significant ways. First, we cover a greater number of...