Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments March 24, 2023 erstellt
Description:
The low-risk anomaly in the Indian equity market is explored using a broad universe of 4,400 companies over 19 years in India. The anomaly is characterised by a strong convex relationship between returns and volatility. We describe the methodology used to construct five low-risk factors using realised volatility, ex-ante beta, CAPM beta, and realised IVOL as measures of risk. Our findings demonstrate that lower-risk portfolios constructed using these measures exhibit higher risk-adjusted returns than high-risk portfolios. The strength of the anomaly does not appear to diminish over time in Indian equities. There is clear evidence of the low-risk anomaly in the Indian equities market even after controlling for the standard academic factors