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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.date.accessioned 2018-11-07T09:05:17Z
dc.date.available 2018-11-07T09:05:17Z
dc.date.issued 2017
dc.identifier.citation Abeysekera, A.P. (2017) "The four-factor model and stock returns: evidence from Sri Lanka", Afro-Asian J. Finance and Accounting Vol.07(1) en_US
dc.identifier.uri http://dr.lib.sjp.ac.lk/handle/123456789/7087
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. Keywords: Carhart four-factor model; GRS F-test; Colombo Stock Exchange; CSE; frontier markets; momentum; Sri Lanka. en_US
dc.language.iso en en_US
dc.title The four-factor model and stock returns: evidence from Sri Lanka en_US
dc.type Article en_US


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