Artikel
Asset-pricing models: A case of Indian capital market
The asset-pricing models have been a fundamental area of research in finance due to its applicability in corporate finance and stock analysis. The present research attempted to evaluate the three popular asset-pricing models namely the capital asset-pricing model, the Fama-French three-factor model, and the Fama-French five-factor model in the Indian equity market for the period of January 2009 to November 2018. The study also tested the role of the size, profitability, value, investment, and market factors in explaining the average equity returns at the Indian bourses. The empirical results indicate the inferior performance of single market factor in describing the variations in average stock returns in comparison of the FF3FM and FF5FM. Furthermore, the size and value factors added to CAPM yields a vital improvement in explaining the variation in average returns of sample stocks.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Cogent Economics & Finance ; ISSN: 2332-2039 ; Volume: 8 ; Year: 2020 ; Issue: 1 ; Pages: 1-15
- Klassifikation
-
Wirtschaft
- Thema
-
Capital asset-pricing model
Fama-French five-factor model
Fama-French three-factor model
Size effect
Value effect
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Khudoykulov, Khurshid
- Ereignis
-
Veröffentlichung
- (wer)
-
Taylor & Francis
- (wo)
-
Abingdon
- (wann)
-
2020
- DOI
-
doi:10.1080/23322039.2020.1832732
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Khudoykulov, Khurshid
- Taylor & Francis
Entstanden
- 2020
Ähnliche Objekte (12)
Industry concentration, stock returns and asset pricing: The UK evidence
Pricing and performance of IPOs: Evidence from Indian stock market
Making sense in asset markets: Strategies for implicit organizations
Country-level effects of the ECB's expanded asset purchase programme
Long-horizon asset and portfolio returns revisited: Evidence from US markets
Multifactor Capital Asset Pricing Models
Capital mobility and asset pricing
Bank capital and bank stability: The mediating role of liquidity creation and moderating role of asset diversification
Service quality and delivery in banking services—An Indian perspective
Regulatory capital: Implications on credit creation and profitability
Geographies of relational coordination in venture capital firms
The relationship between human capital and firm value: Evidence from Indian firms
Industry concentration, stock returns and asset pricing: The UK evidence
Pricing and performance of IPOs: Evidence from Indian stock market
Making sense in asset markets: Strategies for implicit organizations
Country-level effects of the ECB's expanded asset purchase programme
Long-horizon asset and portfolio returns revisited: Evidence from US markets
Multifactor Capital Asset Pricing Models
Capital mobility and asset pricing
Bank capital and bank stability: The mediating role of liquidity creation and moderating role of asset diversification
Service quality and delivery in banking services—An Indian perspective
Regulatory capital: Implications on credit creation and profitability
Geographies of relational coordination in venture capital firms
The relationship between human capital and firm value: Evidence from Indian firms
Industry concentration, stock returns and asset pricing: The UK evidence
Pricing and performance of IPOs: Evidence from Indian stock market
Making sense in asset markets: Strategies for implicit organizations
Country-level effects of the ECB's expanded asset purchase programme
Long-horizon asset and portfolio returns revisited: Evidence from US markets
Multifactor Capital Asset Pricing Models
Capital mobility and asset pricing
Bank capital and bank stability: The mediating role of liquidity creation and moderating role of asset diversification
Service quality and delivery in banking services—An Indian perspective
Regulatory capital: Implications on credit creation and profitability
Geographies of relational coordination in venture capital firms