IIMS Journal of Management Science
issue front

Vanita Tripathi1, Ritu Sapra1 and Rishabh Gupta2

First Published 23 Feb 2022. https://doi.org/10.1177/0976030X211052205
Article Information Volume 13, Issue 1 January 2022 (Special Issue)
Corresponding Author:

Ritu Sapra, Department of Commerce, Delhi School of Economics, University Enclave, Delhi 110007, India.
Email: Sapra.ritu@gmail.com

1 Department of Commerce, Delhi School of Economics, Delhi, India

2 Department of Commerce, Delhi College of Arts & Commerce, Delhi, India

Creative Commons Non Commercial CC BY-NC: This article is distributed under the terms of the Creative Commons Attribution-NonCommercial 4.0 License (http://www.creativecommons.org/licenses/by-nc/4.0/) which permits non-Commercial use, reproduction and distribution of the work without further permission provided the original work is attributed as specified on the SAGE and Open Access pages (https://us.sagepub.com/en-us/nam/open-access-at-sage).


The purpose of the study is to empirically examine the sectoral-specific performance of the five-factor asset pricing model comprising of 17-years’ data in the Indian stock market using the Fama–French methodology. The results highlighted the better performance of a five-factor model in the “Basic Material” and “Oil” industries. However, for the “consumer” industry, there is an existence of other risk factors which can better explain the portfolio’s excess returns. The result further demonstrates the better explanatory power of the five-factor model in explaining the portfolio excess return for the “Industrial” sector. However, the findings support the better applicability of market mode for the “financial” sector in the Indian stock market. For the “Health Care” and “Technology” industries, the addition of two more risk factors does not lead to much improvement in the model’s explanatory power. The current study evaluating the applicability of the asset pricing model will have a practical implication for portfolio managers, policymakers, researchers, and academicians in evaluating the performance of the portfolios on a sectoral basis and in determining the cost of equity in the overall cost of capital. The study will also aid the investors in their investment decision-making by helping them to identify the average stock return in different sectors.


Asset pricing model, Fama–French, sectors, risk factors, Indian stock market

JEL Classification: C22, F65, G4, G11, G12


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