It is great to know that the best finance professors in
India have come out with a databank for Indian equities and their French Fama
and Momentum factor returns. I guess I
can’t ever stop wondering at the erudition of Prof. J.R Varma.
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.iimahd.ernet.in/~jrvarma/Indian-Fama-French-Momentum/four-
factors-India-90s-onwards-IIM-WP-Version.pdf
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