Fama French and Momentum Factors: Data Library for Indian Market at IIMA
My colleagues at the Indian Institute of Management, Ahmedabad (IIMA) Prof. Sobhesh Kumar Agarwalla, Prof. Joshy Jacob and I maintain the above data library of the four factor model in Indian equities market. This includes the three Fama-French factors (Size, Value and Market) as well as the Momentum factor.
The methodology is described in our paper: 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: https://faculty.iima.ac.in/~iffm/Indian-Fama-French-Momentum/four-factors-India-90s-onwards-IIM-WP-Version.pdf