An Empirical Testing of Five Factors Model in Indian Capital Market

The Study tests intercept and a combination of five independent variables to determine the security/portfolio returns. The results show that intercept is not significantly different from zero. The combination ofb, Size, (E/P), (BE/ME) and Rm-Rf variables explain the variation in security returns and market value weighted portfolio returns. However, this combination does not explain the variation in equal weighted portfolio returns. The empirical findings of this paper would be useful to financial analysts as the results prove that five-factor model is useful in determining security/market value weighted portfolio returns.