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

Table 7

Mean excess monthly returns and Fama–French regression results for the characteristic-balanced portfolios sorted on size, B/Mand SMB factor loadings.

Panel A: Mean excess monthly returns
	Mean	Std. Dev.		t-statistic
SL (h−l)	0.005	0.048		1.720
BL (h−l)	0.002	0.043		0.543
SM (h−l)	0.006	0.049		1.788
BM (h−l)	0.002	0.042		0.815
SH (h−l)	0.011	0.068		2.437
BH (h−l)	−0.001	0.073		−0.174
Avg (h−l)	0.004	0.029		2.156
Panel B: FF regression results
	Α	β	s	h	Adj. R^2
SL (h−l)	0.002	0.214	0.268	−0.147	0.118
	(0.649)	(4.030)	(2.600)	(−1.797)
BL (h−l)	0.000	0.055	0.187	−0.142	0.036
	(0.004)	(0.952)	(2.136)	(−2.120)
SM (h−l)	0.002	0.054	0.284	−0.032	0.035
	(0.541)	(0.990)	(2.864)	(−0.665)
BM (h−l)	−0.001	0.105	0.271	−0.118	0.072
	(−0.279)	(2.253)	(2.716)	(−1.766)
SH (h−l)	0.003	0.117	0.573	−0.085	0.089
	(0.887)	(1.929)	(2.796)	(−0.943)
BH (h−l)	−0.007	0.127	0.859	−0.629	0.314
	(−1.325)	(1.435)	(2.648)	(−2.046)
Avg (hs−ls)	0.000	0.112	0.407	−0.192	0.332
	−0.142	3.951	6.610	−4.936

Numbers in bold denote significance at the 5 percent level or better.