Validity of CAPM by Using Portfolios: Evidence from Indian Capital Market

  • K.M. Yaseer Department of Commerce, PG Department of Commerce Govt. College Madapally, University of Calicut , India
  • K.P. Shaji Urban and Rural Development Finance Corporation, Thiruvananthapuram, India
Keywords: Capital Asset pricing Model, Beta, systematic risk, Security market line

Abstract

This article tests the validity of Capital Asset pricing Model and compares the results of 16 periods including 14 sub periods which comprises 3 years each for the prediction of the expected returns in the Indian capital Market. The tests were conducted on portfolios having different security combinations. By using Black Jenson and Scholes methodology (1972) the study tested the validity of the model for the whole and different sub periods. The study used daily data of the BSE 100 index for the period from January 2001 to December 2010. Empirical results mostly in favor of the standard CAPM model. However, the result does not find conclusive evidence in support of CAPM

 

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Published
2018-07-25
How to Cite
Yaseer, K., & Shaji, K. (2018). Validity of CAPM by Using Portfolios: Evidence from Indian Capital Market. Indian Journal of Finance and Banking, 2(2), 15-25. Retrieved from http://www.cribfb.com/journal/index.php/ijfb/article/view/95
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Articles