Fama–French Three-Factor Versus Daniel-Titman Characteristics Model: A Comparative Study of Asset Pricing Models from India

Table 2

Descriptive statistics of factor portfolio (Mimicking Portfolios) returns.

Panel A: Excess return (on monthly basis in percent)
	Mean	t-value (mean)	Std. Dev.	Skewness	Kurtosis
SMB	1.373	6.162	3.722	0.290	4.102
HML	0.859	2.685	5.348	1.209	6.647
MKT	0.518	1.198	7.227	0.046	3.671
S/L	1.531	2.877	0.0889	0.505	6.317
S/M	1.782	3.215	0.0926	0.363	4.975
S/H	2.602	4.008	0.1084	0.469	4.072
B/L	0.390	0.877	0.0742	0.038	6.366
B/M	0.462	0.925	0.0835	0.194	5.199
B/H	0.944	1.517	0.1039	0.637	4.821
Panel B : Correlations
	SMB	HML	MKT
SMB	1.000	0.181	−0.019
HML	0.181	1.000	0.210
MKT	−0.019	0.210	1.000