What is it about?
The purpose of this paper is to determine the suitability of conditional compared to unconditional versions namely, the capital asset pricing model and the Fama-French three-factor model for the Indian stock market.
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Why is it important?
The capital market of India is well developed and plays an important role in the sub-region. All major financial institutions and foreign investors participate in the Indian capital market. Therefore, it is important to understand asset pricing behavior in the Indian market.
Perspectives
We find that market beta in unconditional asset pricing model do not suitably describe the asset pricing behavior of the Indian capital market.
Mr Sudipta Das
Indian Institute of Information Technology Allahabad
Read the Original
This page is a summary of: Empirical evidence of conditional asset pricing in the Indian stock market, Economic Systems, June 2015, Elsevier,
DOI: 10.1016/j.ecosys.2014.07.003.
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