New Century Publications

Home  |    About Us  |   NEW ARRIVALS  |    Order Form  |    Join Mailing List  |    Contact Us

Search For

Complete Catalogue - 2015-2016
in PDF format

    Economics and Commerce
Accounting Standards / Auditing
Banking, Finance and Insurance
Business Environment
Capital Market
Climate Change
Disaster Management
Economic History
Economic Planning in India
Economic Reforms in India
Employment and Labour Welfare
Energy Security
Environment and Economics
Food Security
Foreign Direct Investment (FDI)
Foreign Exchange/Currency
Foreign Trade/External Sector
Global Financial Crisis/Global Recession
Goods and Services Tax (GST)
Governance / E-governance
Human Development
Indian Economy: General
Indian Industry, Small and Medium Enterprises, Public Sector
Information and Communication Technology (ICT)
Infrastructure and Urban Development
International Trade
Islamic Studies
Labour Economics
Micro Finance/Self-help Groups (SHGs)/Micro Credit
Monetary/Credit Policy
Panchayati Raj
Public Finance, Fiscal Federalism, Government Budgeting, Taxation
Regional Development
Research Methodology
Rural Development and Poverty
Skill Development
Social Services/Human Welfare
Urban Planning
Water Resources
Consumer Behaviour, Advertising and Consumer Protection
Corporate Governance
Human Resource Management (HRM)
Human Resources Development (HRD)
Management - General
Management Ethics
Mergers and Acquisitions
Quality Management / TQM
Retail Management
Risk Management
Supply Chain Management
Working Capital Management
    Political Science
Defence and Security
European Union
Foreign Policy
Government and Politics
Human Rights
International Relations
Minority Studies
North Africa
South Asia
United States
West Asia
    Food Standards
Food Science
General Reference
    Women Studies
Women and Law
Women Empowerment
Women Studies / Gender Studies
Indian History
Economic Laws
Intellectual Property Rights (IPRs)
Law - General
    Education - General
Human, Economic and Environmental
Asset Pricing in Indian Stock Market
By Sanjay Sehgal

First Published : 2005
ISBN : 8177080792
: 9788177080797
Pages : 214
Binding : Hardbound
Size : 5 x 9
Price : US$ 43

This book empirically shows that the multi-factor asset pricing models, like the Fama-French model, provide a better description of average stock returns compared to the more widely accepted capital asset pricing model (CAPM). It is suggested that the market practitioners should re-design their investment management tool box by replacing CAPM with the Fama-French model for industry applications such as cost of capital estimation, corporate valuation, estimating fair rates of return, assessing stock market efficiency and portfolio performance evaluation. It is also revealed that size-based, value-based, reversal-based and momentum-based trading strategies do not provide extra-normal returns in India. The book will be a useful reference for mutual fund managers, portfolio managers, financial consultants and investors at large. Academicians and students in the area of investment management and corporate finance can also benefit from it.


1. Introduction

2. Asset Pricing: An Overview

3. Investor Behaviour in Indian Stock Market

4. Common Factors in Stock Returns

5. Common Factors in Earnings

6. Fama-French Model and CAPM Anomalies

7. Momentum Profits, Portfolio Characteristics and Asset Pricing Models

8. Factor Model Vs Characteristics Based Model

9. Implications and Recommendations


Appendix 1: Investor Behaviour in Indian Stock Market


      Dr. Sanjay Sehgal is a Reader-in-Finance with the Department of Financial Studies, University of Delhi South Campus. He has a teaching and research experience of about one and a half decade in the areas of investment management and corporate finance. He did his Ph.D. (Finance) from Delhi University in 1996 and completed post doctoral fellowship on multi-factor asset pricing from Department of Accounting and Finance, London School of Economics, UK in 2001. He has done two UGC sponsored major research projects on mutual funds evaluation and asset pricing.  He has written more than thirty research papers which are published in leading finance journals.  Most of these papers have been presented in international and Indian conferences. He teaches courses in Investment Analysis, Portfolio Management and Financial Econometrics to Master of Finance and Control (MFC) students in his present Department.  He also regularly gives lectures on asset pricing and market-efficiency to M.Phil. (Finance) students at Delhi School of Economics, Delhi University. He also taught courses in financial markets and corporate finance to post graduate students during his tenure at London School of Economics, U.K. 

4800/24, Bharat Ram Road, Ansari Road, Daryaganj, New Delhi - 110 002 INDIA
Tel. : 91-11-23247798, 65396605, 43587398; Fax : 91-11-41017798; Mobile: 9811266355
E-mail :
A creation of : Crux Infotech