Article Details
  • Published Online:
    July  2025
  • Product Name:
    The IUP Journal of Applied Finance
  • Product Type:
    Article
  • Product Code:
    IJAF010725
  • DOI:
    10.71329/IUPJAF/2025.31.3.5-17
  • Author Name:
    C Vanlalzawna
  • Availability:
    YES
  • Subject/Domain:
    Finance
  • Download Format:
    PDF
  • Pages:
    5-17
Volume 31, Issue 3, July-September 2025
Assessing the Validity of Three-Factor Model in India’s Equity Market
Abstract

The present study tests the Fama and French three-factor (FFTF) model in the Indian equity market using the returns of Nifty 500 indexed equities from January 2006 to December 2021. The Nifty 200 indexed returns are used as market proxy and 91 days T-bill as risk-free rate, which is collected from the RBI database. The results show the presence of size effect in the Indian equity market but find no value effect. The study also confirms the validity of CAPM in the Indian equity market.

Introduction

Since the evolution of asset pricing concept, investors have widely used it. Earlier, investors widely used systematic risk (beta) to assess the risk of a particular financial asset given by Sharpe (1964) for a long period.