Fama–French Three-Factor Versus Daniel-Titman Characteristics Model: A Comparative Study of Asset Pricing Models from India

Table 5

Fama–French regression results for the portfolios constructed on size, B/M equity, and HML loadings.

	A	β	s	H	Adj. R^2
S-L-l	−0.002 (−0.711)	0.994 (19.746)	0.797 (7.042)	−0.168 (−2.360)	0.728
S-L-h	−0.010 (−3.581)	1.005 (14.081)	0.784 (7.075)	0.033 (0.487)	0.758
B-L-l	−0.001 (−0.692)	0.921 (22.341)	0.194 (2.309)	−0.169 (−3.366)	0.789
B-L-h	−0.005 (−1.875)	0.967 (11.425)	0.078 (0.864)	0.057 (1.042)	0.726
S-M-l	−0.002 (−0.488)	0.914 (17.157)	0.977 (9.957)	0.086 (1.068)	0.716
S-M-h	−0.005 (−1.391)	1.019 (15.447)	1.211 (10.012)	0.243 (2.532)	0.777
B-M-l	−0.004 (−1.421)	0.982 (26.659)	0.198 (2.639)	0.282 (6.654)	0.809
B-M-h	−0.007 (−2.320)	1.117 (14.299)	0.289 (2.736)	0.533 (6.767)	0.812
S-H-l	−0.003 (−1.052)	0.909 (17.246)	1.422 (11.950)	0.601 (6.379)	0.824
S-H-h	−0.002 (−0.746)	1.018 (18.793)	1.470 (10.820)	0.768 (12.241)	0.842
B-H-l	−0.008 (−3.315)	0.971 (15.607)	0.488 (4.083)	0.661 (8.510)	0.810
B-H-h	0.001 (0.117)	0.944 (8.970)	−0.007 (−0.025)	1.375 (5.650)	0.771