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Risk modeling and a study of the CAPM for major Indian Companies

Paul, Thomas M. and Asarebea, Akua F. (2012) Risk modeling and a study of the CAPM for major Indian Companies. Lambert Academic Publishing, USA & Europe. ISBN 9783659175060

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    Abstract

    Risk and Return are topics which stimulated the imagination of academicians for decades. After the development of portfolio theory,once risk diversification is accompalished,the concept of the market risk and betas have enabled the academic community to estimate the parameters of risk and return.In this context the authors have applied the CAPM study for India .The study covers five companies listed on the National Stock Exchange of India (NSE). These companies are the State Bank of India, Tata Motors, and Reliance group of Companies, Infosystch and HFDC bank.Monthly data for 2005 to 2009 period are collected and analyszed .After giving an excellent theoretical exposition of the CAPM theory,the authors estimate econometrically the risk and return paramters.Finally, the authors contribute to the ongoing discussion on why the equity risk premiums have been recently higher than the historical averages.

    Item Type: Book
    Subjects: H Social Sciences > HG Finance
    Divisions: Faculty of Business and Economics (FBE) > School of Accounting and Finance
    Depositing User: Thomas Paul
    Date Deposited: 18 Jul 2012 19:38
    Last Modified: 10 Jan 2017 10:15
    URI: http://repository.usp.ac.fj/id/eprint/4941
    UNSPECIFIED

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