IDEAS home Printed from https://ideas.repec.org/a/wsi/afexxx/v17y2022i04ns2010495222500208.html
   My bibliography  Save this article

Is There A Beta Anomaly? Evidence From The India

Author

Listed:
  • VINAY KHANDELWAL

    (Jaipuria Institute of Management Jaipur, 01, Bambala Institutional Area, Pratap Nagar, Sanganer, Jaipur 302033, Rajasthan, India)

  • VARUN CHOTIA

    (Jaipuria Institute of Management Jaipur, 01, Bambala Institutional Area, Pratap Nagar, Sanganer, Jaipur 302033, Rajasthan, India)

Abstract

This paper investigates the Indian equity market for the presence of a beta anomaly. A beta anomaly occurs when the additional market risk taken by an investor is not rewarded. Academic literature shows mixed evidence on whether the market rewards risk-takers or not for the additional risk taken. Using a sample of monthly returns of 265 companies during a period of 240 months from January 2000 to December 2019, the authors test the Indian equity market for the presence of an anomaly. A decile descriptive analysis shows a positive relationship between market risk and returns, and a negative relationship between company-specific risk and returns. A two-stage Fama–MacBeth (FMB) regression procedure is employed to empirically test for the relationship between beta and expected returns. The findings refute the presence of a beta anomaly in the Indian capital market. Also, the study concludes that a linear model of slope-intercept form is enough to explain the beta and expected returns’ relationship. The findings benefit investment managers and wealth advisors by explaining the market risk and expected returns relationship.

Suggested Citation

  • Vinay Khandelwal & Varun Chotia, 2022. "Is There A Beta Anomaly? Evidence From The India," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 17(04), pages 1-20, December.
    • Handle: RePEc:wsi:afexxx:v:17:y:2022:i:04:n:s2010495222500208
    DOI: 10.1142/S2010495222500208
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2010495222500208
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2010495222500208?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:afexxx:v:17:y:2022:i:04:n:s2010495222500208. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/afe/afe.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.