The study tests whether beta, as envisaged in CAPM, and book-to-market equity ratio lnBEME, as envisaged in the Fama and French FF model, are the determinants of the security and portfolio returns. Further the study also tests whether the intercept of the CAPM is equal to the risk-free rate of return as envisaged in the standard form of the theory. When percentage returns are considered, lnBEME explains the variation in security returns in univariate regression while the combination of beta and lnBEME explain this variation in multiple regressions. However, these variables do not explain variations in security returns when log returns are considered. The overall results, based on percentage and log returns, show that the intercept is equal to the risk-free rate of return but the beta and ln BEME factors do not explain the variation in individual security returns and portfolio returns in Indian capital market. Therefore, the factors in the FF model that are important in western market in determining the securityportfolio returns do not emerge as the important factors in the Indian market. The results of this paper help in understanding the significance of beta and book-to-market equity ratio in asset pricing in Indian market. .