INDIAN SENSITIVE INDEX (SENSEX) AND ASSETS PRICING LITERATURE IN FINANCIAL ECONOMICS

A Peer Mohamed

The IUP Journal of Financial Economics, 2006, vol. IV, issue 2, 6-34

Abstract: Capital Asset Pricing Model (CAPM) relies heavily on the stock market index as it is practically impossible to collect the entire data from the complex stock market. Though beta value is derived by applying such indices, empirical findings and conclusions vary from one finding to another. This paper briefly presents such findings under four broad headings. The first one gives a concise view of early development of CAPM when beta is considered-before 1980s-the messiah to pricing of an asset. In the 1980s and 1990s, some researchers concluded that many other variables also influence the asset pricing model and declared beta dead. The second heading presents the anomalies or puzzles in CAPM. After the 1990s, some researchers asserted that asset pricing is primarily based on behavioral attitude of investors. This is dealt with under the third heading CAPM, the sui generis. The collaged Indian empirical findings on CAPM are presented under the last part.

Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:icf:icfjfe:v:04:y:2006:i:2:p:6-34

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