Validity of capital asset pricing method in Indian Stock Market: Black, jensen and scholes and fama and Macbeth methods
作者: Rupinder Katoch
刊名: International Journal of Management, IT and Engineering, 2018, Vol.8 (3), pp.1-9
来源数据库: Indianjournals.com
关键词: CAPMBombay Stock Exchange (BSE)BetaT-tests
原始语种摘要: A number of empirical studies have been conducted to test the validity of the Capital Asset Pricing Model (CAPM) since its origin. However, few have considered the Indian Stock Market. The purpose of this paper is to test the CAPM to see if it holds true in the Bombay Stock Exchange (BSE). The study uses monthly stock returns from 72 companies listed on the BSE during Nov, 2012 to Nov, 2017. Black, Jensen and Scholes (1972) and Fama and MacBeth methods were used to test the CAPM. We found that the excepted returns and betas are linear related with each other during the study period, which implies a strong support of the CAPM hypothesis. On the other hand, as the CAPM hypothesizes for the intercept, it should equal zero and the slope should equal to the average risk premium, the results...
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关键词翻译
关键词翻译
  • Black 布莱克
  • CAPM Computer-Aided Patient Management
  • pricing 定价
  • returns 返回粉末
  • capital 首都
  • stocks 足枷
  • intercept 截断
  • empirical 经验的
  • method 方法
  • premium 赠品