Robustness of Sharpe single index model in Indian market: a unique approach to identify gems
by Sudhi Sharma; Miklesh Prasad Yadav
International Journal of Public Sector Performance Management (IJPSPM), Vol. 12, No. 4, 2023

Abstract: The current stock of knowledge based on Sharpe (1963) single index model is the pure manifesto of the model, i.e., selecting stocks, and finally, weights have allocated according to z values. However, the real question is that the securities filtered with the application of the model are actually showing healthy financials. High yields may be because of insider trading that creates a bubble in the market and thus departs from its real fundamentals. The underlying gap motivates the author to analyse further the selected stocks filtered by the application of the Sharpe model. The paper is not only the mere application of the method and model but also supported with fundamental analysis to substantiate the strength of the model. The identification of value buying stocks has been achieved effectively by the application of Sharpe single index model in multiple layers.

Online publication date: Tue, 28-Nov-2023

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