Research Papers - Dept of Business

Permanent URI for this collectionhttps://rda.sliit.lk/handle/123456789/1668

Browse

Filters

2008 - 20092

Advanced Search

Filter by

Settings

Author: search.filters.author.Murray, LEnd date: 2009

Search Results

Now showing 1 - 2 of 2
  • Thumbnail Image
    PublicationOpen Access
    Risk factors in the Sri Lankan capital market
    (2008) Alles, L. A; Murray, L
    This 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.
  • Thumbnail Image
    PublicationEmbargo
    Investment performance and holding periods: An investigation of the major UK asset classes
    (Palgrave Macmillan UK, 2009-12) Alles, L. A; Murray, L
    The objective of this article is to offer further investigation of the practice of investors to concentrate their investments in cash or bonds as they grow older, and their investment horizons decrease. To provide evidence in this regard, we assess the impact of investment horizon by computing returns, risks and end-of-period wealth distributions of the major UK asset classes, over increasing time horizons. We use monthly observations between 1963 and 2005, and our assessment is based on a block bootstrapping technique. This methodology offers an improvement on previous studies, as it facilitates the retention of past time series patterns of returns. It is likely that these patterns will continue into the future. Results show that investment outcomes at short horizons are different to outcomes at longer horizons. Evidence is provided in favour of time diversification, up to a 5-year horizon. Further, we find that the probability of ending with a shortfall in end-of-period wealth decreases as the holding period lengthens. We also find that higher risk asset classes outperform lower risk asset classes and have higher end-of-period wealth for longer holding periods.