@article{Peswani_2017, title={Returns to Low Risk Investment Strategy}, volume={6}, url={https://ojs.aut.ac.nz/applied-finance-letters/article/view/65}, DOI={10.24135/afl.v6i01.65}, abstractNote={<p>The paper studies the low risk anomaly in the Indian market using entire National Stock Exchange (NSE) as sample from January 2001 to June 2016. It provides evidence that low risk portfolio sorted for total risk, systematic risk as well as unsystematic risk individually for the large cap, mid cap, small cap and the entire NSE universe give higher returns to the investor as compared to high risk portfolio. The difference of returns from low risk portfolio versus high risk portfolio is positive as well as economically and statistically significant for all the risk measures. The results also prove that low risk portfolio investing strategy returns outperform the benchmark portfolio. Using either total volatility, idiosyncratic volatility or beta as a risk measure in stocks, the low risk portfolio gives higher returns even after controlling for the well-known size, value and momentum factors. The excess returns are the highest for low risk portfolio sorted for volatility of large cap stocks. Most of the low risk portfolios consists of growth and winner stocks. In conclusion, the low risk portfolio investment strategy is independent of size and gives positive excess returns as compared to high risk portfolio in the Indian stock market.</p>}, number={01}, journal={Applied Finance Letters}, author={Peswani, Shilpa Girish}, year={2017}, month={Dec.}, pages={2-15} }