Fama-French five-factor asset pricing model: empirical evidence from Indian stock market

2021 ◽  
Vol 27 (1) ◽  
pp. 70
Author(s):  
Vanita Tripathi ◽  
Pardeep Singh
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Empirical Evidence ◽  
Pricing Model ◽  
Asset Pricing Model ◽  
Indian Stock Market

Application of CAPM in the Indian Stock Market A Comprehensive Reassessment

2005 ◽  
Vol 1 (2) ◽  
pp. 1-12 ◽  
Author(s):  
Raj S. Dhankar ◽  
Rohini Singh
Keyword(s):  
Stock Market ◽  
Capital Market ◽  
Stock Exchange ◽  
Capital Asset Pricing ◽  
Pricing Model ◽  
Capital Asset ◽  
Asset Pricing Model ◽  
Conflicting Evidence ◽  
Empirical Tests ◽  
Indian Stock Market

There is conflicting evidence on the applicability of Capital Asset Pricing Model in the Indian stock market. Data for 158 stocks listed on the Bombay Stock Exchange was analyzed using a number of tests from 1991–2002, the period which roughly coincides with the period after liberalization and initiation of capital market reforms. Taken in aggregate the various empirical tests show that CAPM is not valid for the Indian stock market for the period studied.

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