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Uzma Fatima

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  Abstract


This paper explains the validity of the Capital Asset Pricing Model in the Bank Nifty Index and tests whether the expected returns align with the actual returns of each of the companies in the Bank Nifty Index. The data is collected from NSE India for the collection of data pertaining to the Bank Nifty Index, Ace Analyzer with respect to each of the companies within the index and historical data of the 91 day T-bill rates collected from the RBI website for the calculation of the risk free rate. The analysis of the collected data is done using Descriptive Statistics, Regression, One-way ANOVA test, CAPM and Correlation. With the help of the analysis done, researchers can do further study on the findings which is open to further interpretation and investors can analyze the market behavior pertaining to the Bank Nifty Index companies exactly when the Indian Stock Market crashed due to the outbreak of the Corona virus in March 2020. This study finds that the Capital Asset Pricing Model does not do justice to all the companies in the Bank Nifty Index as explained even in the previously published articles that have done similar tests which can be observed in the literature review. It is assumed that the companies with less deviation between the actual mean returns and the CAPM based calculation of the expected returns of the companies calculated, the valid is the applicability of the Capital Asset Pricing Model in this particular industry. In conclusion, it can be said that since CAPM is based on historical data collected, investors should not only base their investments on these calculations but also consider Technical analysis and study the present market conditions while investing. If they are only considering historical analysis, they should not use the basic Capital asset pricing model but consider its evolutions instead.

  IJCRT's Publication Details

  Unique Identification Number - IJCRT2104247

  Paper ID - 205756

  Author type - Indian Author

  Page Number(s) - 1938-1954

  Pubished in - Volume 9 | Issue 4 | April 2021

  DOI (Digital Object Identifier) -   

  No Of Downloads - 1410

  Author Country - India, 560102, Bangalore, Bangalore, 560102, Management All

  Publisher Name - IJPUBLICATION | www.ijcrt.org | ISSN : 2320-2882

  E-ISSN Number - 2320-2882

  Published Paper PDF : - http://www.ijcrt.org/papers/IJCRT2104247

  Published Paper URL: : - http://ijcrt.org/viewfull.php?&p_id=IJCRT2104247

  Published Paper PDF Downlaod: - download.php?file=IJCRT2104247

  Cite this article

Uzma Fatima,   "A STUDY ON TESTING THE APPLICATION OF CAPM AND COMPARING THE EXPECTED AND ACTUAL RETURNS OF THE COMPANIES IN INDIAN BANK NIFTY INDEX", International Journal of Creative Research Thoughts (IJCRT), ISSN:2320-2882, Volume.9, Issue 4, pp.1938-1954, April 2021, Available at :http://www.ijcrt.org/papers/IJCRT2104247.pdf

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