A comparative study of the Arbitrage Pricing Theory (APT) and the Capital Asset Pricing Model (CAPM) was done in the Indian scenario on the lines of the methodology proposed by Chen (1983). A factor analysis (maximum likelihood method) was done on the daily returns data of selected scrips from...

The monthly factor premium time series for the three factors (market, size and value) in the Fama-French three factor model in India are found to be stationary for period April 01, 1991 till March 31, 2015. The stationarity behavior for the time series is inferred from a visual examination as...