In the study, we examine if there are any volatility patterns in stock returns for India. Data are employed for 493 companies that form part of BSE 500 index from March 2000 to November 2013. Unlike previous international evidence, no volatility anomaly is observed. Consistent with theory, high volatility stocks significantly outperform low volatility stocks. Alternative risk models fail to explain the volatility effect. Consistent with prior research, we confirm the role of firm quality factor in explaining these volatility patterns. Cash flow variability seems to be a more appropriate measure of firm quality compared to profitability.
Pandey, A., & Sehgal, S. (2017). Volatility effect and the role of firm quality factor in returns: Evidence from the Indian stock market. IIMB Management Review, 29(1), 18–28. https://doi.org/10.1016/j.iimb.2017.01.001