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

Table 8

Mean excess monthly returns and F&F regression for the CB portfolios sorted on size, B/M, and market factor loadings.

Panel A: Mean excess monthly returns
	Mean	Std. Dev.		t-statistic
SL (h−l)	0.003	0.052		0.976
BL (h−l)	0.001	0.054		0.169
SM (h−l)	0.003	0.050		0.950
BM (h−l)	−0.001	0.044		−0.357
SH (h−l)	0.006	0.066		1.400
BH (h−l)	−0.001	0.073		−0.173
Avg. (h−l)	0.002	0.031		0.930
Panel B: FF regression results
	α	β	s	h	Adj. R^2
SL (h−l)	0.002	0.287	0.084	−0.131	0.140
	(0.620)	(4.835)	(0.765)	(−2.067)
BL (h−l)	−0.001	0.356	0.102	−0.144	0.201
	(−0.402)	(3.924)	(0.958)	(−2.332)
SM (h−l)	−0.002	0.181	0.307	0.020	0.105
	(−0.757)	(3.248)	(2.405)	(0.354)
BM (h−l)	0.000	0.219	−0.106	−0.105	0.127
	(0.135)	(4.541)	(−1.092)	(−1.495)
SH (h−l)	−0.001	0.224	0.378	0.113	0.113
	(−0.403)	(4.422)	(1.914)	(1.360)
BH (h−l)	0.002	0.019	−0.458	0.402	0.114
	(0.231)	(0.173)	(−1.204)	(1.134)
Avg (h−l)	0.000	0.214	0.051	0.026	0.254
	(−0.063)	(4.982)	(0.578)	(0.400)