IDEAS home Printed from https://ideas.repec.org/a/ids/afasfa/v12y2022i5p607-625.html
   My bibliography  Save this article

Asset pricing models: evidence from the Indian equity market

Author

Listed:
  • Kapil Choudhary
  • Parveen Kumar
  • Sakshi Mehta

Abstract

The asset pricing model has been a core area of research in finance due to its applicability in corporate finance and security analysis. The present study attempted to evaluate the three popular asset pricing models viz., the capital asset pricing model, the Fama-French three-factor model, and the Fama-French five-factor model in the Indian equity market for the period of January 2009 to November 2018. The study also examined the role of the size, profitability, value, investment, and market factors in explaining the average equity returns in the Indian equity market. The empirical results reveal the inferior performance of a single market factor in describing the variations in average stock returns in comparison with the Fama-French three-factor model and the Fama-French five-factor model. Further, the size and value factors added to CAPM yield a vital melioration in explaining the variation in average returns of sample stocks.

Suggested Citation

  • Kapil Choudhary & Parveen Kumar & Sakshi Mehta, 2022. "Asset pricing models: evidence from the Indian equity market," Afro-Asian Journal of Finance and Accounting, Inderscience Enterprises Ltd, vol. 12(5), pages 607-625.
    • Handle: RePEc:ids:afasfa:v:12:y:2022:i:5:p:607-625
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=126963
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:afasfa:v:12:y:2022:i:5:p:607-625. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=214 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.