Journal of Management and Science
Vol. 3 No. 2 (2013): Vol 3, Iss 2, Year 2013
Articles

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

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  • Lazar D,
  • Yaseer K M
Lazar D
Associate professor, Department of commerce, School of Management, Pondicherry University, Puducherry,India.
Yaseer K M
Research Scholar, Department of commerce, School of Management, Pondicherry University, Puducherry,India
DOI: https://doi.org/10.26524/jms.2013.29
Published June 30, 2013
Keywords
  • CAPM, Intercept, Beta, Portfolio Returns, SML, Black Jensen and Scholes Methodology. Fama and Mac- Beth methodology.
How to Cite
D, L., & K M, Y. (2013). Empirical Validity of CAPM through Security Market Line and Non Linearity Tests: Indian Experience. Journal of Management and Science, 3(2), 236-244. https://doi.org/10.26524/jms.2013.29

Abstract

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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