The Capital Asset Pricing Model: An Empirical Test on Indian Stock Market
作者: Rupinder Katoch
刊名: International Journal of Management, IT and Engineering, 2018, Vol.8 (1), pp.45-59
来源数据库: Indianjournals.com
关键词: CAPMAverage Portfolio Excess ReturnsBombay Stock ExchangeBetaRisk-free rateStocks
原始语种摘要: In this paper, the Capital Asset Pricing Model (CAPM) has been applied to the Indian Stock Market using monthly stock returns from 50 companies listed on the Bombay stock exchange (BSE) from October 2012 to October, 2017. Individual securities have been combined into portfolios so that the precision of the beta estimates can be enhanced. The BSE-200 share index is used as a proxy for the market portfolio. India Govt Bond Generic Bid Yield 10 Year rate is used as the proxy for the risk-free asset. The results validate the CAPM's predictions that higher risk (beta) is associated with a higher level of return. However the study contradicts that the intercept should be equal to zero when estimating SML. This in effect, gives mixed response to the application of CAPM as far as India is...
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关键词翻译
关键词翻译
  • CAPM Computer-Aided Patient Management
  • returns 返回粉末
  • stock 岩株
  • securities 担保品
  • intercept 截断
  • share 分配
  • estimating 价值估计
  • October 十月
  • listed 坏布边
  • market 市场