Risk Modeling and a study of CAPM for major Indian companies - Paul, Muthucattu Thomas;Asarebea, Fosuhene Akua
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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…mehr

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Produktbeschreibung
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.
Autorenporträt
Prof.M.Thomas Paul is at present,Professor at the school of Accounting & Finance,University of South Pacific,Fiji.Former Prof. and Head at the department of Banking & Finance,European University Of Lefke,Former Prof.at National Institute Of Bank Management-India,Madras school of economics-India and Univeristy of Botswana.Earned Ph.D from Gujarat.