Research Article
Fama–French Three-Factor Versus Daniel-Titman Characteristics Model: A Comparative Study of Asset Pricing Models from India
Table 6
Mean monthly excess returns and regression results for the characteristic-balanced portfolios sorted on size, B/M, and HML factor loadings.
| | Panel A: Mean excess monthly returns | | | Mean | Std. Dev. | t-statistic |
| | SL (hh−lh) | −0.006 | 0.049 | −1.795 | | BL (hh−lh) | −0.003 | 0.047 | −1.016 | | SM (hh−lh) | 0.002 | 0.054 | 0.631 | | BM (hh−lh) | 0.002 | 0.048 | 0.680 | | SH (hh−lh) | 0.004 | 0.066 | 0.942 | | BH (hh−lh) | 0.009 | 0.073 | 1.864 | | Avg. (hh−lh) | 0.001 | 0.030 | 0.707 |
| | Panel B: Fama–French regression results | | | α | β | s | h | Adj. R2 |
| | SL (h−l) | −0.0075 (−2.3784) | 0.0112 (0.1742) | −0.0137 (−0.0971) | 0.2011 (3.0129) | 0.0402 | | BL (h−l) | −0.0039 (−1.1884) | 0.0458 (0.5805) | −0.1160 (−0.9779) | 0.2265 (3.6028) | 0.0729 | | SM (h−l) | −0.0030 (−0.7632) | 0.1055 (1.6393) | 0.2339 (2.1521) | 0.1575 (2.4250) | 0.0754 | | BM (h−l) | −0.0021 (−0.7256) | 0.1346 (1.6738) | 0.0902 (1.0499) | 0.2507 (3.5982) | 0.1488 | | SH (h−l) | 0.0013 (0.3434) | 0.1091 (2.8170) | 0.0478 (0.2360) | 0.1675 (1.5278) | 0.0309 | | BH (h−l) | 0.0089 (1.6530) | −0.0261 (−0.2688) | −0.4949 (−1.5028) | 0.7140 (2.4471) | 0.2947 | | Avg (h−l) | −0.0010 (−0.6910) | 0.0633 (1.4559) | −0.0421 (−0.6354) | 0.2862 (6.7566) | 0.3173 |
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Numbers in bold denote significance at the 5 percent level or better.
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