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To explain the cross section of asset returns, there are numerous asset pricing models being used which require ideal conditions in the markets around the world. An attempt has been made in the present study to estimate and compare the different versions of capital asset princing model (CAPM) using the data of sectoral indices listed in S&P BSE in the Indian stock market. The two widely used approaches i.e. Fama-MacBeth (1973) and Pettengil et al. (1995) for conditional versions have been adopted in the study. The models were compared on the basis of Akaike Information Criterion (AIC) and it was obtained that the AIC value of the Unconditional higher moment CAPM was obtained minimum among other models. Hence it can be said as the better model than other models estimated.
Asthana et al. (Thu,) studied this question.