Indian Institute of Management, Ahmedabad

Frequently Asked Questions
Fama French and Momentum Factors Data Library for Indian Market

This page provides answers to some Frequently Asked Questions on the Data Library. Please also read the Working Paper which describes the methodology.

Why does the data in the working paper and the legacy releases not match with the data values in the data file provided on the website?

There are changes in data sources and refinements in methodology

Why does the data for earlier years vary between different releases of the new series?

CMIE makes changes in the data between different releases of its Prowess DX that we use as the source data for our computations. In a new release, CMIE might add a company that was omitted in an earlier release, and it might also correct errors (usually in market capitalization) that it finds in the old release. We have observed such changes in data pertaining to even the 1990s between the Prowess DX releases of March and September 2021.

Can the Fama French model be used for the performance evaluation of mutual funds and exchange traded funds (ETFs)?

Yes, four factor model has been used to evaluate performance of mutual funds. The first paper to do this was: Mark M Carhart (1997), “On Persistence in Mutual Fund Performance”, Journal of Finance, 52(1), 57-82.

What is the source of risk-free rate?

The risk-free returns are taken from the annualized yields of new issuances of 91-day Treasury Bills, provided by the Reserve Bank of India (RBI).

Are the returns given in the annual data of 1993 for the full-year?

Our annual data for the year 1993 covers only the October – December quarter. Hence, the returns only represent the quarterly figures as they are not annualized. Except for the year 1993, all the annual return figures are for the full year periods.

Which of the return frequencies among the annual, monthly and daily is most appropriate for research?

We would recommend the use of the daily data, which can be aggregated to any desired interval such as weekly, monthly, quarterly etc.

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