摘要：We provide evidence of the volatility effect from the Indian markets using the universe of past and present constituents of Nifty 500 index of National Stock Exchange (NSE). The results show that the portfolio consisting of low volatility stocks outperforms the portfolio consists of high volatility stocks and the market portfolio both in absolute and risk-adjusted terms. Further, we report that the volatility effect is a distinct effect. Size, value and momentum factors cannot explain the outperformance of low-volatility stocks. The risk anomaly is robust to the choice of risk measure; however, the volatility effect is stronger than the beta effect and it implies that both systematic risk and idiosyncratic risks contribute to the risk anomaly. The low-volatility portfolio has significant exposure to growth stocks, and it differs from the value tilt observed for low-volatility portfolios in developed markets..
