New Three-Factor Model Revolutionizes Understanding of Stock Price Fluctuations in India
The researchers studied how a three-factor model can better explain stock price fluctuations in the Indian market compared to the traditional model. They found that while the three-factor model didn't predict individual stock returns well, it did explain returns for groups of stocks based on their size and value. The factors of market risk, size, and value had a significant impact on the returns of these stock groups.