首页    期刊浏览 2022年05月21日 星期六
登录注册

文章基本信息

  • 标题:The Volatility Effect: Recent Evidence from Indian Markets
  • 本地全文:下载
  • 作者:Nehal Joshipura ; Mayank Joshipura
  • 期刊名称:Theoretical Economics Letters
  • 印刷版ISSN:2162-2078
  • 电子版ISSN:2162-2086
  • 出版年度:2019
  • 卷号:9
  • 期号:6
  • 页码:2152-2164
  • DOI:10.4236/tel.2019.96136
  • 出版社:Scientific Research Publishing
  • 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..
  • 关键词:Low Risk Anomaly;Volatility Effect;Sharpe Ratio;CAPM Alpha;India
国家哲学社会科学文献中心版权所有