Volatility Study 2023

Authored by: CA Punit Khandelwal, CA Sunit Khandelwal & Prof. Divya Aggarwal

Assisted by: CA Allen Vincent, CA Puja Bhandari, and Anurag Garg

The 3rd edition of our annual study on volatility in the returns of micro to large capitalisation enterprises listed in India shows persistence in the phenomena of high volatility in returns of smaller enterprises compared to the large ones. The empirical observations provide ample explanatory basis for the possibility of assigning volatility in excess of 65-70% to early-stage high-growth enterprises.

This study could be of relevance to valuation professionals in undertaking the valuation of equity-based compensation and share-based payments made by privately held companies and start-ups, for financial reporting purposes. The study could also offer an illustrative basis for assigning high volatility to several smaller, less diversified enterprises, and companies operating in riskier areas such as biotechnology.

In determining the volatilities, we have given due consideration to the observable time frame and selection of indices. For understanding the volatility of such enterprises, we have considered companies having market capitalisation ranging between INR 100-200 crore (or INR 1,000-2,000 million) as a benchmark.

We hope you find the results of our study of interest and value.


High volatility band may of significance in capturing the risk factor in privately held companies and start-ups