Abstract
This paper has been undertaken with the aim of testing the applicability of Fama and French three factor model (1993) in explaining cross-sectional average return for Stocks in Indian equity market for the time frame of 5 years from 2011-2016.The sample includes firms that traded on NIFTY 50 index from 2011-2016. Monthly data has been used to assess the performance of various stocks which have been categorized into big and small portfolios. Monthly data gives a better picture as compared to annual data when the time horizon for study is short.
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