Risk Anomaly: A Review of Literature

  • Mayank Joshipura School of Business Management, NMIMS University, Mumbai, India
  • Nehal Joshipura Durga Devi Saraf Institute of Management & Research, Mumbai


Number of studies show that portfolio of low risk stocks outperform portfolio of high risk stocks as well as the market portfolio over the full market cycle on risk adjusted basis and in some cases, absolute basis as well in some cases. This surprising contradiction to classic finance theory led by CAPM has held its ground over long periods of time, across different markets and different methodological choices. This review paper aims at contributing to the body of knowledge in four ways. One, it highlights and links different strands of literature on low risk anomaly that has evolved over a period of time. Second, it highlights, different methodological choices that have been used. Third, it classifies explanations for persistence of risk anomaly in to economic and behavioral explanations and explanations that try to explain the anomaly away. Fourth, it reviews the state of current research and explores potential but yet underexplored areas of research on risk anomaly.

Author Biographies

Mayank Joshipura, School of Business Management, NMIMS University, Mumbai, India

Dr. Mayank Joshipura is a Professor and Chairperson, Finance Area at School of Business, NMIMS University, Mumbai. Dr. Joshipura, an engineering graduate, holds Ph.D. and MBA degrees in Finance. He attended and successfully completed a certificate programme on “Creating value through financial management” from Wharton Business School, USA.

Dr. Joshipura has one and half decade of experience in management education and consulting. He has worked with several reputed institutes prior to joining NMIMS including S P Jain Institute of Management & Research, Mumbai, where he was a faculty and Head of the Finance area. He has also been a visiting faculty to many reputed business schools such as IIML, SPJIMR, IIM-Raipur, MICA to name a few. He was a visiting faculty to SPJCM Singapore in the past. He has also taught students of Singapore Management University and Tel Aviv University, Israel. He has been a regular faculty for UGC refresher courses for management and commerce faculty.

Dr.Joshpura has published several papers in reputed national and international journals. He has been a reviewer for number of international journals. He has also chaired sessions at many international and national conferences. He has published cases with reputed case clearing and publishing houses such as Richard Ivey Business School, Emerald Emerging Market Case Studies and ECCH. He has been awarded with first prize for the best paper at NICOM 2010.  He has completed two funded research projects for National Stock Exchange of India. He also has supervised two funded research projects under NSE’s student’s research project initiative.

Dr.Joshipura has designed and conducted several training prorammes and MDP sessons for many reputed organizations such as SBI, PNB, BSE, ACC, Zydus Cadila, Sun pharma, IFFCO, GSPC, Gujarat Gas, V-Trans and many more.

Dr. Joshipura has keen interest in the areas of Derivatives, Portfolio management, Quantitative applications in finance, financial risk management and corporate finance. He is currently pursuing research in the areas of Market efficiency, portfolio strategies, risk anomaly and behavioral finance.

Nehal Joshipura, Durga Devi Saraf Institute of Management & Research, Mumbai
Mrs. Nehal Joshipura is an Assistant Professor (Finance). at DSIMS, Mumbai. She has keen interst in risk anomaly and factor based investment strategies.
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