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  • 标题:The Volatility Effect: Evidence from India
  • 本地全文:下载
  • 作者:Mayank Joshipura ; Nehal Joshipura
  • 期刊名称:Applied Finance Letters
  • 印刷版ISSN:2253-5799
  • 电子版ISSN:2253-5802
  • 出版年度:2016
  • 卷号:5
  • 期号:1
  • 页码:12-27
  • DOI:10.24135/afl.v5i1.32
  • 出版社:Tuwhera Open Access Publisher
  • 摘要:We offer empirical evidence that stocks with low volatility earn higher risk-adjusted returns compared to high volatility stocks in the Indian stock market. The annualised excess returns for the low and high volatility decile portfolios amount to 11.40% and 1.30%, respectively, over the period January 2001 to June 2015. The difference of returns is statistically and economically significant for both low and high-risk stocks. Using risk measures of standard deviation and beta, the volatility effect remains after controlling for size, value and momentum. We uncover that the volatility effect is not statistically significant after controlling for beta effect. Our evidence for volatility effect is not dominated by small and illiquid stocks. Our results show that the low volatility portfolio outperforms benchmark portfolio not only in down market but also in up market conditions.
  • 关键词:Volatility effect; Betting against beta; Market efficiency; Low risk anomaly; Lottery effect; Limits of arbitrage.
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