Fama French and Momentum Factors: Data Library for Indian Market

My colleagues, Prof. Sobhesh K. Agarwalla, Prof. Joshy Jacob and I have created a publicly available data library providing the Fama-French and momentum factor returns for the Indian equity market using data from CMIE Prowess. We plan to keep updating the data on a regular basis. Because of data limitations, currently the data library starts in January 1993, but we are trying to extend it backward.

We differ from the previous studies in several significant ways. First, we cover a greater number of firms relative to the existing studies. Second, we exclude illiquid firms to ensure that the portfolios are investable. Third, we have classified firms into small and big using more appropriate cut-off considering the distribution of firm size. Fourth, as there are several instances of vanishing of public companies in India, we have computed the returns with a correction for survival bias.

The methodology is described in more detail in our Working Paper (also available at SSRN): Sobhesh K. Agarwalla, Joshy Jacob & Jayanth R. Varma (2013) “Four factor model in Indian equities market”, W.P. No. 2013-09-05, Indian Institute of Management, Ahmedabad.

Posted at 6:05 pm IST on Sun, 6 Oct 2013         permanent link

Categories: factor investing

Comments