The study investigates the existence of beta-anomaly in the Indian equity market. A growing body of literature shows that financial markets do not reward the risk (defined in terms of standard deviation or market beta). These results (known as ‘low-risk anomaly’ and ‘low-beta-anomaly’) are quite puzzling from the theoretical perspective. This study presents an empirical test of the capital asset pricing model (CAPM) in the Indian equity market to examine the existence of low risk/low beta anomaly. The study covers 650 actively traded stocks for a period of 189 months from July 2002 to March 2018, and the Fama–MacBeth procedure has been used for testing CAPM. The beta-shorted portfolios are formulated using both equal and value-weights. The results of the study were found robust after controlling for outliers and correcting the bias in standard errors, as suggested by Petersen (in Rev Financ Stud 22(1):435–480, 2009). We confirm the presence of ‘low-beta-anomaly’ in India. A non-linear relationship was found between CAPM beta and expected returns. This relationship follows a quadratic function, where expected returns initially increase with beta and then start declining, resulting in the negative risk premium for high-beta portfolios.

中文翻译：

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Beta-Anomaly：来自印度股票市场的证据

该研究调查了印度股票市场中存在的 beta 异常。越来越多的文献表明，金融市场不会奖励风险（根据标准差或市场贝塔系数定义）。从理论角度来看，这些结果（称为“低风险异常”和“低β异常”）非常令人费解。本研究对印度股票市场的资本资产定价模型 (CAPM) 进行了实证检验，以检验是否存在低风险/低贝塔异常。该研究涵盖了从 2002 年 7 月到 2018 年 3 月的 189 个月期间的 650 只活跃交易的股票，并且 Fama-MacBeth 程序已用于测试 CAPM。Beta-shorted 投资组合是使用等量权重和价值权重来制定的。正如 Petersen 所建议的（在 Rev Financ Stud 22(1):435–480, 2009 中），在控制异常值并纠正标准误差中的偏差后，发现该研究的结果是稳健的。我们确认印度存在“低β异常”。发现 CAPM beta 与预期回报之间存在非线性关系。这种关系遵循二次函数，其中预期收益最初随 beta 增加，然后开始下降，导致高 beta 投资组合的风险溢价为负。