Fama French and Momentum Factors: Updated Data Library for Indian

A year ago, my colleagues, Prof. Sobhesh K. Agarwalla, Prof. Joshy Jacob and I created a publicly available data library providing the Fama-French and momentum factor returns for the Indian equity market, and promised to keep updating the data on a regular basis. It has taken a while to deliver on that promise, but we have now updated the data library. More importantly, we believe that we have now set up a process to do this on a sustainable basis by working together with the Centre for Monitoring Indian Economy (CMIE) who were the source of the data anyway. CMIE agreed to implement our algorithms on their servers and give us the data files every month. That ensures more comprehensive coverage of the data and faster updates.

Posted at 9:10 pm IST on Sat, 13 Sep 2014         permanent link

Categories: factor investing

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