The CAPM model which was developed by Sharpe (1964), Lintner
(1965), and Black (1972) was largely supported by Black, Jensen and
Scholes (1972), Fama and Macbeth (1973) and Blume and Friend
(1973). Later this method was questioned on various grounds. Our
book mainly focuses on the estimation of 19 PSBs and PSFIs returns
for the period of 1998-2010 using the CAPM frame work. Further this
paper compares the CAPM returns with that of the Annual Market
Returns (AMR). We have selected these PSBs and PSFs on the basis of
the companies quoted in the BSE stock Exchange in India for the
period 1998-2010. The study states that most of the companies
scrips are undervalued and have not rewarded the investors
properly.
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