Empirical Validity of CAPM through Security Market Line and Non Linearity Tests: Indian Experience | Zendy

Daniel Lazar | Zendy; K.M. Yaseer | Zendy

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Empirical Validity of CAPM through Security Market Line and Non Linearity Tests: Indian Experience

Author(s) -

Daniel Lazar,

K.M. Yaseer

Publication year - 2013

Publication title -

journal of management and science

Language(s) - English

Resource type - Journals

eISSN - 2250-1819

pISSN - 2249-1260

DOI - 10.26524/jms.2013.29

Subject(s) - capital asset pricing model , economics , financial economics , index (typography) , econometrics , security market line , empirical research , cost of capital , actuarial science , microeconomics , statistics , mathematics , computer science , paleontology , horse , world wide web , stock market , biology , profit (economics)

Capital Asset Pricing Model (CAPM) is one of the important talk factors in finance and it has been widely discussed and tested in different capital markets throughout the world. This study examines the validity of capital asset pricing model in Indian Capital Market by using the data of 70 companies listed in BSE 100 index The study used Black, Jensen and Scholes (1972) methodology and Fama Macbeth methodology (1973) to test the empirical validity of the model. The results showed linear relationship between beta and return, and also it showed weakness in explaining the various assumptions of CAPM.

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