Please use this identifier to cite or link to this item: https://rda.sliit.lk/handle/123456789/709
Full metadata record
DC FieldValueLanguage
dc.contributor.authorAlles, L. A-
dc.contributor.authorMurray, L-
dc.date.accessioned2022-01-18T09:10:04Z-
dc.date.available2022-01-18T09:10:04Z-
dc.date.issued2008-
dc.identifier.urihttp://localhost:80/handle/123456789/709-
dc.description.abstractThis paper examines whether additional risk factors such as the variance, skewness and coskewness of returns offer an appropriate explanation of company returns in the Sri Lankan Capital Market. Arguments for considering these risk factors in pricing models to better deal with the characteristics of a smaller developing capital market are presented. Using individual company returns, empirical tests examine whether the extra risk factors offer a significant explanation of the cross section of returns. Results indicate that while CAPM betas offer little explanation of company returns, variance and, to a lesser extent, skewness are significantly related to returns in this market. Coskewness has little importance. Robustness tests confirm that these measures are unrelated to company size.en_US
dc.language.isoenen_US
dc.relation.ispartofseriesSri Lankan Journal of Management;Vol 14 Issue 1 Pages 34-47-
dc.subjectAlternative risk measuresen_US
dc.subjectSri Lankan stock marketen_US
dc.subjectDeveloping capital marketsen_US
dc.titleRisk factors in the Sri Lankan capital marketen_US
dc.typeArticleen_US
Appears in Collections:Research Papers
Research Papers - SLIIT Staff Publications

Files in This Item:
File Description SizeFormat 
63.pdf87 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.