... estimates for the HML portfolio are generally consistent with the findings of Fama and French (1993, 1996). Fama and French (1993, 1996) report that High BE/ME stocks load positively on the HML ... Management 2: 157 – 167. Connor, G and S. Sehgal. 2001. Tests of the Fama and French Model in India. Davis, J. L., Fama, E. F. and K. R. French. 2000. Characteristics, covariances and average returns: ... Finance 47: 427–465. Fama, E. F. and K. R. French. 1993. Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33: 3–56. Fama, E. F. and K. R. French. 1995. Size...