Research Publications Authored by SLIIT Staff

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This collection includes all SLIIT staff publications presented at external conferences and published in external journals. The materials are organized by faculty to facilitate easy retrieval.

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Author: search.filters.author.Alles, L. ASubject: search.filters.subject.Alternative risk measures

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    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.