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Manjunatha, T
- Testing of Beta and Return in the Indian Capital Market
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1 Principal, Bapuji Academy of Management & Research, Davangere, Karnataka
1 Principal, Bapuji Academy of Management & Research, Davangere, Karnataka
Source
International Journal of Financial Management, Vol 1, No 2 (2011), Pagination: 39-46Abstract
The study tests whether beta as envisaged in CAPM is the determinants of the security and portfolio returns. Further the study also tests whether the intercept of the CAPM is equal to the risk-free rate of return as envisaged in the standard form of theory. The study is based on BSE Sensex companies. The overall results, based on percentage and log returns show that the intercept is equal to the risk-free rate of return but the beta does not explain the variation in individual security returns and portfolio returns in Indian capital market. Therefore, we conclude that CAPM does not hold for the Indian market.Keywords
CAPM, Intercept, Security/Portfolio returns, Beta, Risk-free Returns, Market Returns
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