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In this paper, it is checked whether Capital Assets Pricing Model (CAPM) holds for Indian stock markets or not by studying the excess return-beta relationship for the period ranging from April 2010 to March 2015 for Indian market. If CAPM holds then intercept should equals to zero and the slope should equal the excess returns on the market portfolio. To make results more reliable and effective portfolios have been created on the basis of betas obtained from time-series regression. This study founds CAPM does not holds for high risk portfolio, whereas excess return- beta relationship is well captured by CAPM for medium and low risk portfolios for the sample period. The findings of this paper might help investors for their funds and in taking better informed decisions.