Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market
Author : Raj Dhankar
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Book Synopsis Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market by : Raj Dhankar
Download or read book Arbitrage Pricing Theory and the Capital Asset Pricing Model - Evidence from the Indian Stock Market written by Raj Dhankar and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The arbitrage pricing theory (APT) has been proposed as an alternative to the capital asset pricing model (CAPM). This paper uses principal components analysis to estimate the factors that influence stock returns. Analysis of the Indian stock market using monthly and weekly returns for 1991-2002 shows that APT with multiple factors provides a better indication of asset risk and estimates of required rate of return than CAPM which uses beta as the single measure of risk.