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  • 标题:The volatility effect across size buckets: evidence from the Indian stock market
  • 本地全文:下载
  • 作者:Shilpa Peswani ; Mayank Joshipura
  • 期刊名称:Investment Management & Financial Innovations
  • 印刷版ISSN:1810-4967
  • 电子版ISSN:1812-9358
  • 出版年度:2019
  • 卷号:16
  • 期号:3
  • 页码:62-75
  • DOI:10.21511/imfi.16(3).2019.07
  • 语种:English
  • 出版社:LLC “Consulting Publishing Company “Business Perspectives”
  • 摘要:The portfolio of low-volatility stocks earns high risk-adjusted returns over a full market cycle.The annual alpha spread of low versus high-volatility quintile portfolios is 25.53% in the Indian equity market for the period from January 2000 to September 2018.The low-volatility(LV)effect is not an overlap of other established factors such as size,value or momentum.The effect persists across various size buckets(market capi?talization).The performance of the low-volatility effect within various size buckets is analyzed using three different portfolio formation methods.Irrespective of the method of portfolio construction,the low-volatility effect exists and it also generates economi?cally and statistically significant risk-adjusted returns.The long-short portfolios across the study deliver exceptionally high and statistically significant returns accompanied by negative beta.The low-volatility effect is not restricted to small or illiquid stocks. The effect delivers the highest risk-adjusted returns for the portfolio consisting of large?cap stocks.Though the returns of the portfolio comprising of large-cap LV stocks are lower than the returns of the portfolio comprising of small-cap LV stocks,its Sharpe ratio is higher because of less risky nature of large-cap stocks as compared to small-cap stocks.The LV portfolio majorly comprises large-cap,growth and winner stocks.But within size buckets,large-cap and mid-cap low LV picks growth and winner stocks, while small-cap LV picks value stocks.
  • 关键词:low volatility effect;low-risk investing;low-risk effect;size factor;CAPM alpha
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