Asset-pricing models: A case of Indian capital market

References

• Aharoni, G., Grundy, B., & Zeng, Q. (2013). Stock returns and the Miller Modigliani valuation formula: Revisiting the Fama French analysis. Journal of Financial Economics, 110(2), 347–15. https://doi.org/10.1016/j.jfineco.2013.08.003
   Web of Science ®Google Scholar
• Anwar, M., & Kumar, S. (2018). Three-factor model of asset pricing: Empirical evidence from the Indian stock market. The IUP Journal of Applied Finance, 24 (3), 16–34. SSRN https://ssrn.com/abstract=3275917
   Google Scholar
• Arora, D., & Gakhar, D. V. (2019). Asset pricing models: A study of CNX nifty 500 index companies. Indian Journal of Finance, 13(4), 20–35. https://doi.org/dx.10.17010/ijf/2019/v13i4/143125
   Google Scholar
• Balakrishnan, A., & Maiti, M. (2017). Dynamics of size and value factors in stock returns: Evidence from India. Indian Journal of Finance, 11(6), 21–35. https://doi.org/dx.10.17010/ijf/2017/v11i6/115593
   Google Scholar
• Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3–18. https://doi.org/10.1016/0304-405X(81)90018-0
   Web of Science ®Google Scholar
• Bartholdy, J., & Peare, P. (2005). Estimation of expected return: CAPM vs. Fama and French. International Review of Financial Analysis, 14(4), 407–427. https://doi.org/10.1016/j.irfa.2004.10.009
   Google Scholar
• Basu, S. (1983). The relationship between earnings’ yield, market value and return for NYSE common stocks: Further evidence. Journal of Financial Economics, 12(1), 129–156. https://doi.org/10.1016/0304-405X(83)90031-4
   Web of Science ®Google Scholar
• Belimam, D., Tan, Y., & Lakhnati, G. (2018). An empirical comparison of asset-pricing models in the Shanghai A-share exchange market. Asia-Pasific Financial Markets, 25(3), 249–265. https://doi.org/10.1007/s10690-018-9247-4
   Web of Science ®Google Scholar
• Connon, G., & Sehgal, S. (2001). Tests of the Fama-French model in India. Discussion paper (379). Financial Markets Group, London School of Economics and Political Science. http://eprints.lse.ac.uk/25057/
   Google Scholar
• Dash, S. R., & Mahakud, J. (2013). Conditional multifactor asset pricing model and market anomalies. Journal of Indian Business Research, 5(4), 271–294. https://doi.org/10.1108/JIBR-12-2012-0126
   Google Scholar
• Eugene, F., & Kenneth, R. F. (1996). Multifactor explanations of asset pricing anomalies. The Journal of Finance, 51(1), 55–84. https://doi.org/10.2307/2329302
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, 33(1), 3–56. https://doi.org/10.1016/0304-405X(93)90023-5
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2008). Dissecting anomalies. The Journal of Finance, 63(4), 1653–1678. https://doi.org/10.1111/j.1540-6261.2008.01371.x
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), 1–22. https://doi.org/10.1016/j.jfineco.2014.10.010
   Web of Science ®Google Scholar
• Fama, E. F., & French, K. R. (2017). International tests of a five-factor asset pricing model. Journal of Financial Economics, 123(3), 441–463. https://doi.org/10.1016/j.jfineco.2016.11.004
   Web of Science ®Google Scholar
• Gibbons, M. R., Ross, S. A., & Shanken, J. (1989). A test of the efficiency of a given portfolio. Econometrica: Journal of the Econometric Society, 57(5), 1121–1152. https://doi.org/10.2307/1913625
   Web of Science ®Google Scholar
• Griffin, J. M., & Lemmon, M. L. (2002). Book-to-market equity, distress risk, and the returns. The Journals of Finance, 57(5), 2317–2336. https://doi.org/10.1111/1540-6261.00497
   Web of Science ®Google Scholar
• Guo, B., Zhang, W., Zhang, Y., & Zhang, H. (2017). The five-factor asset pricing model tests for the Chinese stock market. Pasific-Basin Finane Journal, 43(C), 84–106. https://doi.org/10.1016/j.pacfin.2017.02.001
   Google Scholar
• Harshita, S., & Yadav, S. S. (2015). Indian stock market and the asset pricing models. Procedia Economics and Finance, 30(12), 294–304. https://doi.org/10.1016/S2212-5671(15)01297-6
   Google Scholar
• Kubota, K., & Takehara, H. (2017). Does the Fama and French five-factor model work well in Japan? International Review of Finance, 18(1), 137–146. https://doi.org/10.1111/irfi.12126
   Web of Science ®Google Scholar
• Lakonishok, J., Shleifer, A., & Vishny, R. W. (1994). Contrarian investment, extrapolation, and risk. The Journal of Finance, 49(5), 1541–1578. https://doi.org/10.1111/j.1540-6261.1994.tb04772.x
   Web of Science ®Google Scholar
• Liew, J., & Vassalou, M. (2000). ‘Can book-to-market, size and momentum be risk factors that predict economic growth? Journal of Financial Economics, 57(2), 221–245. https://doi.org/10.1016/S0304-405X(00)00056-8
   Web of Science ®Google Scholar
• Lin, Q. (2017). Noisy prices and the fama-French five-factor asset pricing model in China. Emerging Markets Review, 31(C), 141–163. https://doi.org/10.1016/j.ememar.2017.04.002
   Google Scholar
• Lintner, J. (1965). Security prices, risk, and maximum gains from diversification. The Journal of Finance, 20(4), 587–615. https://doi.org/10.1111/j.1540-6261.1965.tb02930.x
   Web of Science ®Google Scholar
• Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4), 768–783. https://doi.org/10.2307/1910098
   Web of Science ®Google Scholar
• Nichol, E., & Dowling, M. (2014). Profitability and investment factors for U.K. asset pricing models. Economics Letters, 125(3), 364–366. https://doi.org/10.1016/j.econlet.2014.10.013
   Web of Science ®Google Scholar
• Novi-Marx, R. (2013). The other side of value: The gross profitability premium. Journal of Financial Economics, 108(1), 1–28. https://doi.org/10.1016/j.jfineco.2013.01.003
   Web of Science ®Google Scholar
• Sehgal, S., & Balakrishnan, A. (2013). Robustness of Fama-French three factor model: Further evidence for Indian stock market. Vision, 17(2), 119–127. https://doi.org/10.1177/0972262912483526
   Google Scholar
• Sharpe, W. F. (1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The Journal of Finance, 19(3), 425–442. https://doi.org/10.1111/j.1540-6261.1964.tb02865.x
   Web of Science ®Google Scholar
• Sreenu, N. (2018). An empirical test of capital asset-pricing model and three-factor model of Fama in Indian stock exchange. Management and Labour Studies, 43(4), 1–14. https://doi.org/10.1177/0258042X18797770
   Google Scholar
• Zaremba, A., & Czapkiewicz, A. (2017). Digesting anomalies in emerging European markets: A comparison of factor pricing models. Emerging Markets Review, 31(1), 1–15. https://doi.org/10.1016/j.ememar.2016.12.002
   Google Scholar