Journal Press India^®

Author Details ( * ) denotes Corresponding author

The present study tries to the answer the quest of empirical applicability of the CAPM (Capital Asset Pricing Model) in Indian context. For this purpose, the Black, Jensen, and Scholes time-series test has been applied on the Nifty 50 stocks over the period April 2008 to June 2024. The study finds the alphas (regression intercepts) are statistically zero in case of 42 stocks out of 50 stocks under investigation. This finding challenges the BJS null hypothesis that all alphas should be statistically zero if the CAPM is empirically valid. Although, the model may not be empirically valid, the beta is still relevant because of its statistical significance in case of all fifty stocks and positively related to the excess returns of the securities.

Keywords

CAPM; Beta of a Security; Black; Jensen; Scholes methodology; Systematic risk; Efficient market hypothesis

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