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Fama Decomposition Analysis of Selected Companies of Bombay Stock Exchange in India

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  • Dhanraj Sharma
Abstract
This main purpose of the research is to examine the selectivity and diversification component in generating the superior return for the study period i.e. April 2010 to March 2015. To achieve the major objective of the study, Fama (1972) Decomposition model is applied on a sample size of 30 companies. In the sample size, all the top 30 companies are taken which constitute the S&P BSE Sensex. The research also characterized the results on the basis of risk and return related performance measure. The study confirms that diversification and selection has significant role in providing additional value in the investment within the study period.

Suggested Citation

  • Dhanraj Sharma, 2016. "Fama Decomposition Analysis of Selected Companies of Bombay Stock Exchange in India," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-1.
    • Handle: RePEc:spt:fininv:v:5:y:2016:i:3:f:5_3_1
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    References listed on IDEAS

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    1. Francesco Guidi & Rakesh Gupta, 2011. "Are ASEAN stock market efficient? Evidence from univariate and multivariate variance ratio tests," Discussion Papers in Finance finance:201113, Griffith University, Department of Accounting, Finance and Economics.
    2. Tomasz Potocki & Tomasz Swist, 2012. "Empirical Test of the Strong Form Efficiency of the Warsaw Stock Exchange: The Analysis of WIG 20 Index Shares," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 10(2), pages 155-172.
    3. Fama, Eugene F, 1972. "Components of Investment Performance," Journal of Finance, American Finance Association, vol. 27(3), pages 551-567, June.
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