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Indian Stock Market and Relevance of Capital Asset Pricing Models

In: Risk-Return Relationship and Portfolio Management

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  • Raj S. Dhankar

    (University of Delhi)

Abstract

The arbitrage pricing theoryArbitrage Pricing Theory (APT) (APT) has been proposed as an alternative to the capital asset pricing modelCapital Asset Pricing Model (CAPM) (CAPM). Using principal components analysis to estimate the factors that influence stock returns. Analysis of the Indian stock marketIndian stock market using monthly and weekly returns for 1991–2002 shows that APTArbitrage Pricing Theory (APT) with multiple factors provides a better indication of asset riskRisk and estimates of required rate of return than CAPMCapital Asset Pricing Model (CAPM) which uses betaBeta as the single measure of riskRisk .

Suggested Citation

  • Raj S. Dhankar, 2019. "Indian Stock Market and Relevance of Capital Asset Pricing Models," India Studies in Business and Economics, in: Risk-Return Relationship and Portfolio Management, chapter 0, pages 19-37, Springer.
    • Handle: RePEc:spr:isbchp:978-81-322-3950-5_2
    DOI: 10.1007/978-81-322-3950-5_2
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