Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

Artikel

The present study focused on one of the important South Asian nations-Sri Lanka-to examine the role of idiosyncratic volatility in asset prices. A four-factor model with idiosyncratic volatility was designed for capturing the market, size, value and idiosyncratic risk yields better than Fama and French's (J Financ Econ 33:3-56, 1993) three-factor model and performance of the model. Fama-MacBeth's cross-sectional regression, residual graphs and GRS test all confirm the superiority of four-factor model over 2 three-factor models. For all MC- and IVOL-based portfolios, idiosyncratic volatility is negatively related to the expected returns and positively related for all PB-based portfolios. Finally, study findings confirm that there is a high importance for idiosyncratic volatility risk factor while considering investment decision in Colombo stock exchange. Hence, investor should compensate for holding such risk factors in the portfolio.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Journal: Future Business Journal ; ISSN: 2314-7210 ; Volume: 5 ; Year: 2019 ; Issue: 1 ; Pages: 1-12 ; Heidelberg: Springer

Klassifikation und Themen

• Klassifikation: Management ; Asset Pricing; Trading Volume; Bond Interest Rates
• Thema: Asset pricing ; Idiosyncratic risk ; Factor models ; Fama-MacBeth' cross-sectional regression ; Risk

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Maiti, Moinak
• Ereignis: Veröffentlichung
• (wer): Springer
• (wo): Heidelberg
• (wann): 2019

Weitere Informationen

• DOI: doi:10.1186/s43093-019-0004-6
• Handle: http://hdl.handle.net/10419/246606
• Letzte Aktualisierung: 10.03.2025, 11:43 MEZ