nach oben

Erschienen in:

2019 | OriginalPaper | Buchkapitel

15. Risk Diversification and Market Index Model

verfasst von : Raj S. Dhankar

Erschienen in: Risk-Return Relationship and Portfolio Management

Verlag: Springer India

Einloggen

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config

KI-gestützte Suche

Aus

Abstract

The study attempts to measure the relationship between risk and return, and the effect of diversification on non-market risk in Indian stock market by applying Market Index Model. For the analysis, monthly adjusted opening and closing prices of composite portfolio of BSE 100 companies for the period June 1996 through May 2005 have been taken. We find a high positive correlation between portfolio return and risk. It also signifies that portfolio non-market risk declines with diversification. The results, so obtained, are fully coinciding with the generalization of market index model, and thereby hold it applicable in Indian stock market, in establishing the trade-off between risk and return.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

über 102.000 Bücher
über 537 Zeitschriften

aus folgenden Fachgebieten:

Automobil + Motoren
Bauwesen + Immobilien
Business IT + Informatik
Elektrotechnik + Elektronik
Energie + Nachhaltigkeit
Finance + Banking
Management + Führung
Marketing + Vertrieb
Maschinenbau + Werkstoffe
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

über 67.000 Bücher
über 340 Zeitschriften

aus folgenden Fachgebieten:

Bauwesen + Immobilien
Business IT + Informatik
Finance + Banking
Management + Führung
Marketing + Vertrieb
Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Jetzt informieren

Vorheriges Kapitel Price Earning Ratio, Efficiency and Portfolio Performance

Nächstes Kapitel Mean–Variance Approach and Portfolio Selection

Black, F. E. (1969). Elements of portfolio construction. Financial Analysts Journal, 25.

Bruno, N. S. (1974). Why not diversify internationally rather than domestically. Financial Analysts Journal, 30.

Burnside, D. J. (2004). How many stocks do you need to be diversified? https://www.aaii.com/journal.

Dhankar, R. S., & Kumar, R. (2007). Risk-return relationship and effect of diversification on non-market risk: Application of market index model in Indian stock market. Journal of Financial Management and Analysis, 19(2).

Dhankar, R. S. (1988). A new look at the criteria of performance measurement for business enterprises in India: A study of public sector undertakings. Finance India.

Dhankar, R. S. & Singh, R. (2005). Arbitrage pricing theory and the capital asset pricing model-evidence from the Indian stock market. Journal of Financial Management and Analysis.

Dhankar, R. S. (1996). An empirical testing of capital asset pricing model in the Indian context. Journal of Financial Management and Analysis.

Klemlosky, R. C., & Martin, J. D. (1975). The effect of market risk on portfolio diversification. The Journal of Finance, (1).

Knight, F. N. (1921). Risk, Uncertainty and Profit (Boston).

Kumar R., & Dhankar, R. S. (2011). Distribution of risk and return: A test of normality in Indian stock market. South Asian Journal of Management, 18(1).

Lintner, J. (1965). Security prices, risk and maximum gains from diversification. Journal of Finance, (4).

Madhusoodan, T. P. (1998). Investment horizons and volatility: an analysis of the Indian stock market. The ICFAI Journal of Applied Finance, (1).

Markowitz, H. (1952). Portfolio selection. Journal of Finance, (12).

Mossin, J. (1966). Equilibrium in a capital asset market, Econometrica, (4).

Rao, C. U., Nath G., & Malhotra, M. (1998). Capital asset pricing model and Indian stocks. The ICFAI Journal of Applied Finance, (1).

Sehgal, S. (1997). An empirical testing of three parameter capital asset pricing model in India. Finance India, (4).

Sharpe, W. F. (1995). Risk, market sensitivity and diversification. Financial Analysts Journal, (51).

Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, (3).

Sharpe, W. F., & Cooper, G.M. (1972). Risk-return classes of New York stock exchange common stocks, 1931–1967.

Srinivasan, S. (1988). Testing of capital asset pricing model in Indian environment. Decision, (1).

Titel: Risk Diversification and Market Index Model
verfasst von: Raj S. Dhankar
Verlag: Springer India
Buch: Risk-Return Relationship and Portfolio Management
Print ISBN: 978-81-322-3948-2

Electronic ISBN: 978-81-322-3950-5

Copyright-Jahr: 2019
DOI: https://doi.org/10.1007/978-81-322-3950-5_15