scholarly journals Leverage constraints or preference for lottery: What explains the low-risk effect in India?

2021 ◽  
Vol 18 (2) ◽  
pp. 48-63
Author(s):  
Shilpa Peswani ◽  
Mayank Joshipura
Keyword(s):  
Stock Exchange ◽  
Risk Measures ◽  
The Body ◽  
Low Risk ◽  
Idiosyncratic Volatility ◽  
Indian Market ◽  
Preference Theory ◽  
Demand Theory ◽  
Risk Effect ◽  
Highly Correlated

The study empirically investigates two theories that claim to explain the low-risk effect in Indian equity markets using a universe of stocks listed on the National Stock Exchange of India (NSE) from January 2000 to September 2018. Leverage constraints and preference for lottery are two major competing theories that explain the presence and persistence of the low-risk effect. While the leverage constraints theory argues that systematic risk drives low-risk anomaly and therefore risk should be measured using beta, lottery demand theory claims that irrational investor’s preference towards stocks with lottery-like payoffs is responsible for the persistence of the low-risk effect, and risk should be measured by idiosyncratic volatility. However, given that most of the risk measures are highly correlated, it is not easy to precisely measure a specific theory’s contribution to explaining the low-risk effect. The study constructs the Betting against correlation (BAC) factor to measure the contribution of leverage constraints to the low-risk effect. It further constructs the SMAX factor to untangle the contribution of lottery preference theory. The results show that leverage constraints theory predominantly explains the low-risk effect in Indian markets. This study contributes significantly to the body of literature, as this is the first such study on the Indian market, one of the major emerging markets, especially when the debate on theories explaining the low-risk effect is yet to settle.

scholarly journals Low-risk effect: evidence, explanations and approaches to enhancing the performance of low-risk investment strategies

2020 ◽  
Vol 17 (2) ◽  
pp. 128-145
Author(s):  
Mayank Joshipura ◽  
Nehal Joshipura
Keyword(s):  
Stock Exchange ◽  
Empirical Studies ◽  
Investment Strategy ◽  
The Body ◽  
Low Risk ◽  
Investment Strategies ◽  
Momentum Effect ◽  
Risk Return ◽  
Risk Effect ◽  
Risk Investment

The authors offer evidence for low-risk effect from the Indian stock market using the top-500 liquid stocks listed on the National Stock Exchange (NSE) of India for the period from January 2004 to December 2018. Finance theory predicts a positive risk-return relationship. However, empirical studies show that low-risk stocks outperform high-risk stocks on a risk-adjusted basis, and it is called low-risk anomaly or low-risk effect. Persistence of such an anomaly is one of the biggest mysteries in modern finance. The authors find strong evidence in favor of a low-risk effect with a flat (negative) risk-return relationship based on the simple average (compounded) returns. It is documented that low-risk effect is independent of size, value, and momentum effects, and it is robust after controlling for variables like liquidity and ticket-size of stocks. It is further documented that low-risk effect is a combination of stock and sector level effects, and it cannot be captured fully by concentrated sector exposure. By integrating the momentum effect with the low-volatility effect, the performance of a low-risk investment strategy can be improved both in absolute and risk-adjusted terms. The paper contributed to the body of knowledge by offering evidence for: a) robustness of low-risk effect for liquidity and ticket-size of stocks and sector exposure, b) how one can benefit from combining momentum and low-volatility effects to create a long-only investment strategy that offers higher risk-adjusted and absolute returns than plain vanilla, long-only, low-risk investment strategy.

scholarly journals Returns to Low Risk Investment Strategy

2017 ◽  
Vol 6 (01) ◽  
pp. 2-15 ◽  
Author(s):  
Shilpa Girish Peswani
Keyword(s):  
High Risk ◽  
Stock Exchange ◽  
Risk Measures ◽  
Risk Measure ◽  
Investment Strategy ◽  
Low Risk ◽  
Total Risk ◽  
Excess Returns ◽  
Benchmark Portfolio ◽  
The Difference

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.

Shifting of the body center of gravity in low-risk preterm infants: A video-pedoscope study

2018 ◽  
Vol 124 ◽  
pp. 33-37 ◽  
Author(s):  
Natascia Bertoncelli ◽  
Laura Lucaccioni ◽  
Luca Ori ◽  
Christa Einspieler ◽  
Heinz F.R. Prechtl ◽  
...  
Keyword(s):  
Preterm Infants ◽  
Center Of Gravity ◽  
The Body ◽  
Low Risk ◽  
Body Center

Prediction of Successful College Academic Performance from Measures of Body-Cathexis, Self-Cathexis, and Anxiety

1965 ◽  
Vol 20 (2) ◽  
pp. 431-432 ◽  
Author(s):  
William F. White ◽  
James A. Wash
Keyword(s):  
Academic Success ◽  
Grade Point Average ◽  
Predictive Validity ◽  
Educational Psychology ◽  
The Body ◽  
Grade Point ◽  
Highly Correlated ◽  
Body Cathexis ◽  
Senior Students ◽  
College Academic Success

Measures of body-cathexis, self-cathexis, and anxiety were administered to 74 junior and senior students in educational psychology The body and self tended to be cathected to the same degree, and anxiety was highly correlated with both cathexes. Correlations with grade-point average were nonsignificant. Thus, values placed on body and self tended to be commensurate but lack predictive validity for college academic success.

Measuring the quality of the “comply or explain” approach

2015 ◽  
Vol 30 (4/5) ◽  
pp. 373-412 ◽  
Author(s):  
Michail Nerantzidis
Keyword(s):  
Content Analysis ◽  
Web Sites ◽  
Stock Exchange ◽  
The Body ◽  
Content Type ◽  
Athens Stock Exchange ◽  
Recent Financial Crisis ◽  
The One ◽  
Comply Or Explain

Purpose – This paper provides evidence regarding the efficacy of the “comply or explain” approach in Greece and has three objectives: to improve our knowledge of the concept of this accountability mechanism, to elevate auditors’ potential role in the control of corporate governance (CG) statements and to contribute to the discussion about the reform of this principle; a prolonged dialogue that has been started by European Commission in the light of the recent financial crisis. Design/methodology/approach – The approach taken is a content analysis of CG statements and Web sites of a non-probability sample of 144 Greek listed companies on the Athens Stock Exchange for the year 2011. Particularly, 52 variables were evaluated from an audit compliance perspective using a coding scheme. From this procedure, the level of compliance with Hellenic Federation of Enterprises (SEV) code, as well as the content of the explanations provided for non-compliance, were rated. Findings – The results show that although the degree of compliance is low (the average governance rating is 35.27 per cent), the evaluation of explanations of non-compliance is even lower (from the 64.73 per cent of the non-compliance, the 40.95 per cent provides no explanation at all). Research limitations/implications – The research limitations are associated with the content analysis methodology, as well as the reliability of CG statements. Practical implications – This study indicates that companies on the one hand tend to avoid the compliance with these recommendation practices, raising questions regarding the effectiveness of the SEV code; while on the other, they are not in line with the spirit of the CG code, as they do not provide adequate explanations. These results assist practitioners and/or policy-makers in perceiving the efficacy of the “comply or explain” approach. Originality/value – While there is a great body of research that has looked into the compliance with best practices, this study is different because it is the first one that rates not only the degree of the compliance with the code’s practices but also the content of the explanations provided for non-compliance. This is particularly interesting because it adds to the body of research by providing a new approach in measuring the quality of the “comply or explain” principle in-depth.

scholarly journals Intravascular Ultrasound (IVUS): A Potential Arthroscopic Tool for Quantitative Assessment of Articular Cartilage

2009 ◽  
Vol 3 (1) ◽  
pp. 13-20 ◽  
Author(s):  
Yan-Ping Huang ◽  
Yong-Ping Zheng
Keyword(s):  
Articular Cartilage ◽  
Intravascular Ultrasound ◽  
High Frequency ◽  
Quantitative Assessment ◽  
The Body ◽  
High Frequency Ultrasound ◽  
Surface Reflection ◽  
Before And After ◽  
Highly Correlated

Conventional ultrasound examination of the articular cartilage performed externally on the body surface around the joint has limited accuracy due to the inadequacy in frequency used. In contrast to this, minimally invasive arthroscopy-based ultrasound with adequately high frequency may be a better alternative to assess the cartilage. Up to date, no special ultrasound transducer for imaging the cartilage in arthroscopic use has been designed. In this study, we introduced the intravascular ultrasound (IVUS) for this purpose. An IVUS system with a catheter-based probe (Ø ≈ 1mm) was used to measure the thickness and surface acoustical reflection of the bovine patellar articular cartilage in vitro before and after degeneration induced by enzyme treatments. Similar measurement was performed using another high frequency ultrasound system (Vevo) with a probe of much larger size and the results were compared between the two systems. The thickness measured using IVUS was highly correlated (r = 0.985, p < 0.001) with that obtained by Vevo. Thickness and surface reflection amplitude measured using IVUS on the enzymatically digested articular cartilage showed changes similar to those obtained by Vevo, which were expectedly consistent with previous investigations. IVUS can be potentially used for the quantitative assessment of articular cartilage, with its ready-to-use arthroscopic feature.

scholarly journals Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

2010 ◽  
Vol 9 (1) ◽  
pp. 34-51
Author(s):  
Grzegorz Mentel
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Risk Measures ◽  
Market Risk ◽  
Investment Risk ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Financial Portfolio

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

scholarly journals Random Walk Investigation in Indian Market with special reference to S&P Nifty – Fifty Stocks

2015 ◽  
Vol 4 (4) ◽  
pp. 52-61
Author(s):  
Tamilselvan Manickam ◽  
R Madhumitha
Keyword(s):  
Stock Market ◽  
Stock Exchange ◽  
Abnormal Returns ◽  
Empirical Support ◽  
Weak Form ◽  
Indian Market ◽  
Price Series ◽  
Stock Market Efficiency ◽  
Indian Stock Market ◽  
Weak Form Efficiency

The competence of a financial system is entirely depending upon the stock market efficiency. The gradual growth of equity investor’s participation is inevitable to enrich the overall growth of emerging economies.Hence the necessity is felt to provide an empirical support to the investing community. For the purpose, this study attempts to examine the weak-form efficiency of Indian stock market – National Stock Exchange (NSE). The study has used the daily closing price of the Nifty fifty stocks from 3rdJanuary 2011 to 24thApril 2015. To test the weak form efficiency both parametric and non-parametric tests called Autocorrelation, Augmented Dicky Fuller test, and Runs Test were performed.  The study reveals that 39 stocks of NSE-Nifty Fifty are found to be weak form inefficient, so that the investors can formulate trading strategies to gain abnormal returns. The Index and 10 stocks are found to be weak form efficient during the study period since the price series found to be autocorrelation existence.

scholarly journals Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

2019 ◽  
Vol 5 (1) ◽  
Author(s):  
Moinak Maiti
Keyword(s):  
Factor Model ◽  
Stock Exchange ◽  
Investment Decision ◽  
Idiosyncratic Risk ◽  
Idiosyncratic Volatility ◽  
Sri Lankan ◽  
Cross Sectional ◽  
Volatility Risk ◽  
And Performance ◽  
Three Factor

AbstractThe present study focused on one of the important South Asian nations—Sri Lanka—to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and French’s (J Financ Econ 33:3–56, 1993) three-factor model and performance of the model. Fama–MacBeth’s cross-sectional regression, residual graphs and GRS test all confirm the superiority of four-factor model over 2 three-factor models. For all MC- and IVOL-based portfolios, idiosyncratic volatility is negatively related to the expected returns and positively related for all PB-based portfolios. Finally, study findings confirm that there is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock exchange. Hence, investor should compensate for holding such risk factors in the portfolio.

Measurement of alveolar gas volume by ambient pressure changes in isolated lungs

1988 ◽  
Vol 65 (3) ◽  
pp. 1281-1285
Author(s):  
R. R. Martin ◽  
R. Peslin ◽  
C. Duvivier ◽  
C. Gallina
Keyword(s):  
Water Vapor ◽  
Ambient Pressure ◽  
Water Vapor Pressure ◽  
Volumetric Method ◽  
The Body ◽  
Highly Correlated ◽  
Isolated Lungs ◽  
Pressure Changes ◽  
Gas Volume ◽  
The Relationship

Alveolar gas volume (AGV) may be measured in humans (Peslin et al., J. Appl. Physiol. 62: 359-363, 1987) by applying very slow sinusoidal variations of ambient pressure (delta Pam) around the body and studying the relationship between delta Pam and the resulting gas displacement at the mouth (delta Vaw): AGVapc = (PB.delta Vaw)/(delta Pam.cos phi), where AGVapc is AGV measured by ambient pressure changes, PB is barometric minus alveolar water vapor pressure, and phi is the phase angle between Pam and Vaw. The applicability of this method to excised lungs at various transpulmonary pressures was assessed in six rabbit lungs and three dog lobes by reference to AGV measurements by He dilution (AGVdil) and by a volumetric method (AGVvol). Except in one instance, AGVapc did not change significantly when the frequency of delta Pam was varied from 0.02 to 0.2 Hz. AGVapc was highly correlated (P less than 0.001) to both AGVdil and AGVvol. It did not differ significantly from AGVdil (81.4 +/- 50.6 vs. 80.2 +/- 44.2 ml) and was only marginally higher than AGVvol (64.6 +/- 26.9 vs. 62.4 +/- 24.4 ml, P less than 0.05). We conclude that the method usually provides accurate results in excised lung preparations. Its main advantages are that it does not require manipulating the lung or changing its volume and that the measurement takes less than 1 min.

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