Title: Daily beta adjustment: evidence from the Indian equity market

Authors: Shweta Bajpai; Alok Dixit

Addresses: Department of Management Studies, Indian Institute of Technology Roorkee, 247667, India ' Room No. 217, Faculty Block, IIM Campus, Prabandh Nagar, 226013 Lucknow, India

Abstract: This research paper offers a comparative evaluation of the four well known models of beta adjustment, viz., the Scholes and Williams, Dimson, Cohen et al. and Fowler and Rorke. For the purpose, we cover a period of ten years (January 2004 to December 2013), and analyse the data in two sub-groups, namely, before and after the sub-prime crisis. Out of the four models studied, the best model is used for the beta adjustment. Further, we utilise the adjusted beta for testing the capital asset pricing model (CAPM) in the Indian capital market. The results of this study are expected to provide necessary evidence on important aspects of beta estimation with a daily frequency dataset and its robustness.

Keywords: adjusted beta; capital asset pricing model; CAPM; Indian capital market.

DOI: 10.1504/IJICBM.2017.086085

International Journal of Indian Culture and Business Management, 2017 Vol.15 No.2, pp.121 - 151

Received: 01 Feb 2016
Accepted: 22 Aug 2016
Published online: 24 Aug 2017 *

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