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Journal of Management Research and Analysis


Validity of Capital Asset Pricing Model & Stability of Systematic Risk (Beta) of FMCG - A Study on Indian Stock Market


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Author Details: Krunal Kishorchandra Bhuva, Yesha B. Mankad, Payal B. Bhatt

Volume : 4

Issue : 2

Online ISSN : 2394-2770

Print ISSN : 2394-2762

Article First Page : 69

Article End Page : 73


Abstract

Fast Moving Consumer Goods (FMCG) goods are all consumable items (other than groceries/pulses) that one needs to buy at regular intervals. These are items which are used daily, and so have a quick rate of consumption, and a high return. The FMCG sector in India is at present, the fourth largest sector with a total market size in excess of USD 13 billion as of 2012. This sector is expected to grow to a USD 33 billion industry by 2015. The CAPM model assumes that the variance of returns is an adequate measurement of risk. This would be implied by the assumption that returns are normally distributed, or indeed are distributed in any two-parameter way, but for general return distributions other risk measures (like coherent risk measures) will reflect the active and potential shareholders' preferences more adequately. To test the results statistical correlation analysis was done to show the significant relationship between CAPM return and actual return and risk associated with market beta and CAPM beta.

Keywords:
CAPM, beta, FMCG companies, Risk and returns

Doi No:-10.18231