We analyze the Indian Stock Market by introducing a new way of incorporating macroeconomic risks into multifactor models. We demonstrate the validity of our method by developing a large-scale, dynamic and multifactor model. Our model generates several notable findings about the Indian Stock...

The capital asset pricing model has failed to explain the effect of systematic risk (referred to as beta) on actual stock market returns. Accordingly, this study analyzes daily returns by splitting it into overnight and daytime returns. The study analysis empirically confirms a positive...