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

Table 3

Mean excess monthly returns for the 12 portfolios constructed on size, BM, and HML loadings.

		HML factor loading group
Size	BM	Low (l)	High (h)
Mean monthly excess returns
S	L	0.012	0.006
B	L	0.004	0.001
S	M	0.017	0.019
B	M	0.006	0.008
S	H	0.026	0.030
B	H	0.009	0.018