Prognostic Ability of Beta in Predicting Stock Returns in Asymmetrical Stock Market -Indian Context Acharya Shubhashree1, John Vivek Siju2, George Joel3 1Assistant Professor, Christ University, Bangalore, India 2Research Scholar, Christ University, Bangalore, India 3Research Scholar, Christ University, Bangalore, India Online published on 16 February, 2018. Abstract Investors invest in shares by expecting the future prices to go up or down or to remain constant. The main aim of a potential investor will be to attain the highest return by considering the lowest risk. Predicting the future prices of a share can be found difficult and often impossible. Efforts have been made in developing models that will better help in predicting the future prices of shares. This paper looks at one such model, the Capital Asset Pricing Model (CAPM), and wants to test whether the beta calculated based on daily returns or monthly returns is more reliable in predicting the expected returns of a stock according to CAPM. The study considers six stocks divided as two low-cap stocks, two mid-cap stocks and two high-cap stocks from National Stock Exchange (NSE) and the prices of each stock have been considered for a period of 1 year. The data was mined from secondary sources, and the stationarity of the data has been validated by ADF Unit Root test and GARCH model. The results reveal that beta calculated using daily returns is more accurate in predicting the future prices of the share than beta calculated using monthly returns. Top Keywords Beta Value, CAPM, GARCH model, ADF Unit Root Test, NSE. Top |