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

Table 4

Average BM and size of the 12 portfolios constructed on size, B/M equity, and HML loadings.

		HML factor loading portfolios
Size	BM	Low (l)	High (h)
BM with respect to median
S	L	0.389	0.423
B	L	0.306	0.368
S	M	0.986	1.057
B	M	0.947	1.056
S	H	2.754	3.583
B	H	2.154	2.509
Size with respect to median
S	L	1.425	1.339
B	L	53.391	35.172
S	M	0.580	0.580
B	M	34.620	29.847
S	H	0.302	0.309
B	H	13.056	5.941