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3. Betting Against Beta in the Indian Market

  • 2020
  • OriginalPaper
  • Chapter
Published in:
Authors
Sobhesh Kumar Agarwalla
Joshy Jacob
Jayanth R. Varma
Ellapulli Vasudevan
Published in
The Financial Landscape of Emerging Economies
Publisher
Springer International Publishing

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Abstract

Recent empirical evidence from different markets suggests that the security market line is flatter than posited by CAPM. This flatness implies that a portfolio long in low-beta assets and short in high-beta assets would earn positive returns. Frazzini and Pedersen (2014) conceptualize a BAB factor that tracks such a portfolio. We find that a similar BAB factor earns significant positive returns in India. The returns on the BAB factor dominate the returns on the size, value, and momentum factors. We also find that stocks with higher volatility earn relatively lower returns. These findings indicate overweighting of riskier assets by leverage constrained investors in the Indian market.

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previous chapter Nexus Between Financial Cycle and Business Cycle in India
next chapter Does Economic Policy Uncertainty Matter for Stock Market Volatility?
Title
Betting Against Beta in the Indian Market
Authors
Sobhesh Kumar Agarwalla
Joshy Jacob
Jayanth R. Varma
Ellapulli Vasudevan
Copyright Year
2020
Book
The Financial Landscape of Emerging Economies

Print ISBN: 978-3-030-60007-5

Electronic ISBN: 978-3-030-60008-2

Copyright Year: 2020

DOI
https://doi.org/10.1007/978-3-030-60008-2_3
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