"This study empirically examines the Fama-French three-factor model of stock returns for India. We find evidence for pervasive market, size, and book-to-market factors in Indian stock returns. We find that cross-sectional mean returns are explained by exposures to these three factors, and not by the market factor alone. We find mixed evidence for parallel market, size and book-to-market factors in earnings..."
Connor, Gregory and Sehgal, Sanjay (2001) Tests of the Fama and French model in India. Discussion paper, 379. Financial Markets Group, London School of Economics and Political Science, London, UK
Source: http://eprints.lse.ac.uk/25057/
