Indian Institute of Management, Ahmedabad
Fama French and Momentum Factors: Data Library for Indian
Market
New Series
This page has the new releases of the data library. For legacy
releases (ending in 2019) of data files provided by the Centre for Monitoring Indian Economy
(CMIE) implementing our methodology, see the Legacy Page.
Changes in data sources
Compared to the legacy releases, we have made the following changes
in our data sources:
- We are now running all the computations ourselves while for the
legacy releases, the computations were carried out by CMIE using the
methodology provided by us.
- We are now using CMIE’s Prowess DX which provides three
data releases every year (March, September and December). Accordingly,
we also plan to have three releases every year.
- We now cover both BSE and NSE listed companies while the legacy
releases used data only from BSE and therefore excluded the companies
which are exclusively listed on NSE. Also for stocks listed on both
exchanges, we pick up prices from the exchange with greater aggregate
liquidity.
- While legacy releases computed total returns by adjusting the price
returns for the dividends paid by the company, we now rely on the total
returns field available directly in Prowess DX.
We also took advantage of the break in the series to make some
improvements and refinements in the methodology.
- Based on feedback from market participants and researchers, we have
eliminated micro-cap stocks and penny stocks that are not part of the
investable universe for most investors. Specifically, we apply two
filters:
- The market cap filter excludes all stocks with a market cap during
the preceding year below 10% of the median market cap.
- The price filter excludes stocks whose median price during the
preceding year is less than INR 1.00.
For example, using the data for 2019-20 (October to September) to set
the filters that will be used for computing the factor portfolios and
returns for the year 2020-21 (October to September):
- The micro cap cutoff came to INR 109.5 million and excluded the
bottom 25.8% of the universe of stocks.
- The penny stock filter eliminated 5.3% of stocks from the
universe.
- As the stocks that fall under the two criteria overlap
significantly, the two filters together excluded 26.8% of the
stocks.
- Some double-sort portfolios (especially the Large-Cap Value
portfolio) have very few stocks in some months. Since factor portfolios
need at least a minimal degree of diversification, we do not allow any
double-sort portfolio to have less than five stocks in any month. If the
Large-Cap Value portfolio is absent after applying this rule, the value
factor is computed as the difference between Small Growth and Small
Value.
- We found that our survivorship bias algorithm has not identified any
“vanishing companies” after the mid 1990s. This is not surprising in the
light of the regulatory reforms that took place after the mid 1990s
“vanishing companies” episode. We have therefore discontinued the
ongoing running of this algorithm, but we do provide survivorship bias
free files that correct for the mid-1990s “vanishing companies”.
The data in the new series does not therefore exactly match the data
in the Legacy Releases and in our Working Paper, but the correlations
between the two series are very high and the discrepancies are
attributable to the more comprehensive data sources and the improvements
in the methodology as explained above.
Scope and Methodology
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.
- We cover a greater number of firms relative to the existing
studies.
- We exclude illiquid firms to ensure that the portfolios are
investable.
- We have classified firms into small and big using more appropriate
cut-off considering the distribution of firm size.
- As there were several instances of vanishing of public companies in
India in the mid 1990s, 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.
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
Time Period Covered in this Release
release
|
Start.Month
|
End.Month
|
2024-03
|
October 1993
|
March 2024
|
Factor Returns
|
Last month
|
Last 3 months
|
Year to date
|
Since 01-Jan-1994
|
Market premium %
|
-10.04812
|
21.92568
|
21.92568
|
5.204085
|
SMB %
|
-65.33524
|
-38.51035
|
-38.51035
|
-3.985234
|
HML %
|
13.65738
|
58.99886
|
58.99886
|
7.111281
|
WML %
|
36.88687
|
60.35654
|
60.35654
|
11.912753
|
All returns are annualized geometric mean returns.
Indian Markets Return Data: Downloadable Data Files
Survivorship-Bias Adjusted (Recommended)
Without Survivorship-Bias Adjustment (Deprecated)
Archive
Earlier releases are available at the archive mainly to allow researchers to replicate
studies carried out using an older release.
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