Indian Institute of Management, Ahmedabad
This is the legacy series that was suspended in 2020 due to certain issues relating to updation of data. After some changes in data sources and refinements in methodology, the New Series was launched in December 2021. The coverage of the new series also begins in October 1993.
The legacy series is retained only for archival purposes
(We thank the Centre for Monitoring Indian Economy (CMIE) for implementing our methodology and providing the data files in this data library)
This data library provides regularly updated 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.
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
Start Month | End Month |
October 1993 | December 2019 |
Factor Returns
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Factor plots |
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.iimahd.ernet.in/~iffm/Indian-Fama-French-Momentum/four-factors-India-90s-onwards-IIM-WP-Version.pdf
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An archive of superseded releases is provided mainly to allow researchers to replicate studies carried out using an older release.