Indian Institute of Management, Ahmedabad

Fama French and Momentum Factors: Data Library for Indian Market

(We thank the Centre for Monitoring Indian Economy (CMIE) for implementing our methodology and providing the data files in this data library)

Warning: This release which provided data up to January 2015 has been superseded by a subsequent release. Please see here, for the latest release

Scope and Methodology

This data library provides the Fama-French and momentum factor returns for the Indian equity market using data from CMIE Prowess. We differ from the previous studies in several significant ways. First, we cover a greater number of firms relative to the existing studies. Second, we exclude illiquid firms to ensure that the portfolios are investable. Third, we have classified firms into small and big using more appropriate cut-off considering the distribution of firm size. Fourth, as there are several instances of vanishing of public companies in India, we have computed the returns with a correction for survival bias.

The methodology is described in more detail in our Working Paper: Sobhesh K. Agarwalla, Joshy Jacob & Jayanth R. Varma (2013) “Four factor model in Indian equities market”, W.P. No. 2013-09-05, Indian Institute of Management, Ahmedabad.

All return values are expressed as holding period return (HPR). The monthly and yearly return values of the factors are compounded values of daily returns. The returns and the break-points are recalculated from the beginning of the period each time we update the results. The values may undergo a change if CMIE revises its database retrospectively. We recommend using the Survivorship-Bias adjusted values if the analysis includes the period between 1995-2000.

Some further clarifications are provided in the Frequently Asked Questions

Time Period Covered

Factor Returns

Indian Markets Return Data: Downloadable Data Files

Fama French and Momentum Factors

• Without Survivorship-Bias Adjustment
  • Daily Data
  • Monthly Data
  • Annual Data
• Survivorship-Bias Adjusted
  • Daily Data
  • Monthly Data
  • Annual Data

Six Portfolios formed on Size and Value

• Without Survivorship-Bias Adjustment
• Survivorship-Bias Adjusted

Four Portfolios formed on Size and Momentum

• Without Survivorship-Bias Adjustment
• Survivorship-Bias Adjusted

Portfolio Breakpoints

• Size and Value Break Points for 6 Size-Value Portfolios
• Size and Momentum Break Points for 4 Size-Momentum Portfolios

How to cite the data

Please cite the source of the data as follows:

Agarwalla, S. K., Jacob, J. and Varma, J. R. (2013), Four factor model in Indian equities market, Working Paper W.P. No. 2013-09-05, Indian Institute of Management, Ahmedabad. URL: http://www.iima.ac.in/~iffm/Indian-Fama-French-Momentum/four-factors-India-90s-onwards-IIM-WP-Version.pdf

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Superseded Releases

An archive of superseded releases is provided mainly to allow researchers to replicate studies carried out using an older release.

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