TITLE

An Empirical Study to test the Explanatory Power of the Factor Portfolios

AUTHOR(S)
Amit, B. Mirji
PUB. DATE
February 2013
SOURCE
Advances in Management;Feb2013, Vol. 6 Issue 2, p15
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The study tests whether growth in cash earnings per share (CEPS) for a portfolio is explained by similar growth in factor portfolios like market, SMB and HML as envisaged in the Fama and French three-factor return model for NSE listed companies during 1996- 2010. The results show that growth in CEPS of a portfolio when regressed with the corresponding growth in factor portfolios like market; size (SMB) and value (HML) behave in a similar way as the returns model of Fama and French three factors.
ACCESSION #
86938427

 

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