Indian Institute of Management, Ahmedabad

Fama French and Momentum Factors: Data Library for Indian Market

Warning: This was the original release in this data library and has now been superseded by newer releases. The data in this release has been revised primarily to accommodate the data of firms which are retrospectively added to the Prowess database by the Centre for Monitoring Indian Economy (CMIE). 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.

Some further clarifications are provided in the Frequently Asked Questions

Time period covered

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
  • Daily Data
  • Monthly Data
  • Annual Data
• Survivorship-Bias Adjusted
  • Daily Data
  • Monthly Data
  • Annual Data

Four Portfolios formed on Size and Momentum

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

Portfolio Breakpoints

• Without Survivorship-Bias Adjustment
  • Momentum Break Points for Size Momentum Portfolios
  • Size Break Points for Size Momentum Portfolios
  • Size Break Points for Size Value Portfolios
  • Value Break Points for Size Value Portfolios
• Survivorship-Bias Adjusted
  • Momentum Break Points for Size Momentum Portfolios
  • Size Break Points for Size Momentum Portfolios
  • Size Break Points for Size Value Portfolios
  • Value Break Points for Size Value 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

Download BibTex citation

Superseded Releases

An archive of superseded releases is provided mainly to allow researchers to replicate studies carried out using an older release.

Home