Empirical Testing of Beta Stability in Indian Capital Market-Reference-Cited by-同舟云学术

Empirical Testing of Beta Stability in Indian Capital Market

Published:2021-11-25 Issue: Volume: Page:452-456
ISSN:2321-5763
Container-title:Asian Journal of Management
language:en
Short-container-title:AJM

Author:

M Gautam¹,Manjunatha T.¹

Affiliation:

1. Tax Filer Trainee, Global Value Added Inc, Channasandra Layout, Near RNSIT College, Kengeri-Uttarahalli Main Road, Bangalore 560 098, Karnataka, India.

Abstract

The study tests stability of CAPM beta in the Indian capital market. Beta is one of the debated issues in the finance literature. While Fama and French have argued that betas are no more relevant in the capital market, it is one of the prominent concepts used by the finance professionals worldwide. The study is based on NSE Nifty companies, Nifty and Sensex Indices prices from 2009 to 2019. We use market model on the sample data to assess the beta stability for different time periods. The result of the present study shows that betas of companies do not show any stability over the period of time, but weighted average portfolio beta shows some stability during the study period.

Publisher

A and V Publications

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