An empirical examination of beta anomaly in India

Sarika Rakhyani ()
Additional contact information
Sarika Rakhyani: University of Delhi

DECISION: Official Journal of the Indian Institute of Management Calcutta, 2021, vol. 48, issue 2, No 6, 206 pages

Abstract: Abstract This paper investigates the presence of beta anomaly in the Indian market and tries to explore the reasons behind its existence. The beta anomaly does exist in India, but the negative relationship between beta and alpha is not because of the positive relationship between beta and idiosyncratic volatility (IVOL) and negative between IVOL and alpha. Further, on the basis of raw returns, the betting against beta (BAB) premium is very small in comparison with size and value premiums. Size effect is the strongest with a difference of 2.7% per month between small and big stock returns. On risk adjusted basis (CAPM), BAB premium is less than one-fourth of the size premium. But, market, size and value factors alone are not able to explain the variation in returns of low beta stocks. The introduction of the BAB factor in the Fama-French 3 factor model makes the alpha zero. In sum, the presence of BAB effect is observed in the Indian market though it is very small in respect to the size effect. Transaction costs may easily nullify the BAB premium.

Keywords: Beta; Anomaly; Betting Against Beta; IVOL; Alpha; G10; G11; G12; G19 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s40622-021-00278-6 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:decisn:v:48:y:2021:i:2:d:10.1007_s40622-021-00278-6

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/40622

DOI: 10.1007/s40622-021-00278-6

Access Statistics for this article

DECISION: Official Journal of the Indian Institute of Management Calcutta is currently edited by Rajesh Babu

More articles in DECISION: Official Journal of the Indian Institute of Management Calcutta from Springer, Indian Institute of Management Calcutta
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().