Abstract:
The purpose of this study is to find out whether Fama and French Three Factor Model (FF3FM) holds for different investment periods. The sample covers listed stocks in the Colombo Stock Exchange from 1998 to 2013. Nine Size-BM portfolios are constructed each year for the analysis. The analysis is done for four investment periods ranging from one month to one year. The results indicate that the impact of Market is significant for all the portfolios across all the investment periods. However, impact of size is significant only for small and medium size portfolios, and the impact of Book to Market is significant mostly for portfolios associated with high Book to Market values across all the investment periods. Further, the results reveal that FF3FM is valid for all the investment periods and the power of the model increases slightly as the investment period lengthens.
