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The four-factor model and stock returns; evidence from Sri Lanka

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dc.contributor.author Abeysekera, A.P.
dc.contributor.author Nimal, P.D.
dc.date.accessioned 2018-04-26T03:14:40Z
dc.date.available 2018-04-26T03:14:40Z
dc.date.issued 2017
dc.identifier.citation Abeysekera, A.P., Nimal, P.D. (2017). "The four-factor model and stock returns; evidence from Sri Lanka", Afro-Asian Journal of Finance and Accounting, Vol. 7 (1), pp. 1-15 en_US, si_LK
dc.identifier.uri http://dr.lib.sjp.ac.lk/handle/123456789/6958
dc.description.abstract Attached en_US, si_LK
dc.description.abstract There have been numerous studies that have attempted to explain the cross-sectional variation in average returns in developed and emerging markets. However, there is a dearth in the published evidence of research that has looked at frontier markets regarding this aspect. Sri Lanka is considered to be a frontier market and hence the objective of this study is to test the ability of the Carhart four-factor model to explain the variation in the cross-section of average stock returns in the Colombo Stock Exchange (CSE) and to evaluate it in comparison to the capital asset pricing model (CAPM) and the Fama and French three-factor model. The study finds that the four-factor model, incorporating the market factor, size factor, value factor and momentum factor, provides a satisfactory explanation of the variation in the cross-section of average stock returns in the CSE. Further, it is found that the four-factor model performs better than the CAPM and the three-factor model.
dc.language.iso en_US en_US, si_LK
dc.publisher Afro-Asian Journal of Finance and Accounting en_US, si_LK
dc.subject Carhart four-factor model en_US, si_LK
dc.subject GRS F-test en_US, si_LK
dc.subject Colombo Stock Exchange en_US, si_LK
dc.subject CSE en_US, si_LK
dc.subject frontier markets en_US, si_LK
dc.subject momentum en_US, si_LK
dc.subject Sri Lanka en_US, si_LK
dc.title The four-factor model and stock returns; evidence from Sri Lanka en_US, si_LK
dc.type Article en_US, si_LK


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