What does this research mean for the field?

A modified Fama-French three-factor model that substitutes the value factor with a volatility measure outperforms the traditional model in explaining abnormal portfolio returns in the Indian stock market. Novelty: ClaimNovelty.INCREMENTAL. Consensus alignment: ConsensusAlignment.NEUTRAL.

What question did this study set out to answer?

The study aims to understand how return volatility and firm characteristics influence abnormal portfolio returns in the Indian stock market.

June 13, 2026Future Business JournalOpen Access

Dynamics of return volatility and firm characteristics in explaining average abnormal portfolio returns: evidence from Indian stock market

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Authors

KDKarkaria DusmantaCenturion University of Technology and Management NBNirakar BarikVellore Institute of Technology University

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Implication

Randomized trial investigates return volatility and firm characteristics affecting portfolio returns in India, suggesting new asset pricing insights.

Key Points

The study aims to understand how return volatility and firm characteristics influence abnormal portfolio returns in the Indian stock market.
Examined twenty-five size-volatility portfolios using the Fama-French method
Compared the Fama-French three factor model with a modified model incorporating volatility
Conducted empirical analysis on portfolio returns with GRS test for model performance
Small-sized stocks with low volatility (P1) generated 3.2% return while large-sized stocks with high volatility (P25) generated 1.4% return
MFFTFM outperformed the traditional Fama-French model, showing higher R-square value
Evidence of abnormal return patterns in the Indian stock market was confirmed.

Cite This Study

Dusmanta et al. (2026) studied this question.

synapsesocial.com/papers/6a2cf665faef96ed7f05827a https://doi.org/10.1186/s43093-026-00875-w

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Implication

Randomized trial investigates return volatility and firm characteristics affecting portfolio returns in India, suggesting new asset pricing insights.

Dynamics of return volatility and firm characteristics in explaining average abnormal portfolio returns: evidence from Indian stock market

Discussion

Member takes

Implication

Key Points

Cite This Study

Dynamics of return volatility and firm characteristics in explaining average abnormal portfolio returns: evidence from Indian stock market

Discussion

Member takes

Implication

Key Points

Cite This Study

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