Economics, Econometrics and Finance
8 years ago

Indian Stock Market Study Challenges Traditional Risk-Return Relationship in Finance

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International journal of management
TESTING OF CAPITAL ASSET PRICING MODEL: AN APPLICATION OF FAMA MACBETH APPROACH IN INDIAN EQUITY MARKET
Kapil Choudhary

Paper Summary

The study tested the Capital Asset Pricing Model (CAPM) in the Indian stock market using data from 278 companies. The results did not support the idea that higher risk leads to higher returns. The study found that the relationship between return and betas is linear, and that residual risk affects expected returns. Overall, the findings suggest that the CAPM may not accurately predict stock returns in the Indian equity market.

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