Abstract
The purpose of this paper is to establish and estimate the extent of the volatility anomaly (VA). We examine the impact of the beta, variance, relative-beta, and relative-variance measures on the stock returns for NIFTY500 companies, for the 10-year period 2010-2020. Our empirical findings suggest that the VA is predominant in the medium to long-term, but seems to be negligible in the ultra-short and short time frames. The overall findings suggest that the VA is most significant when the time period considered is three years or more. These results can be highly useful for investors as well as portfolio managers.
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