2017
DOI: 10.1504/aajfa.2017.10003864
|View full text |Cite
|
Sign up to set email alerts
|

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

Abstract: 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 … Show more

Help me understand this report

Search citation statements

Order By: Relevance

Paper Sections

Select...
1

Citation Types

0
1
0

Year Published

2024
2024
2024
2024

Publication Types

Select...
1

Relationship

0
1

Authors

Journals

citations
Cited by 1 publication
(1 citation statement)
references
References 13 publications
0
1
0
Order By: Relevance
“…We gathered data on metrics such as the opening price, closing price, highest share price, and lowest share price, aligning the time frame with the investor message, spanning 972 trading days from 2019 to 2022. In line with Mallikarjuna and Rao (2019) and Nimal (1997), this study uses closing prices to define stock market returns: Statistical descriptions of the stock price data are shown in Table 3.…”
Section: (C)mentioning
confidence: 99%
“…We gathered data on metrics such as the opening price, closing price, highest share price, and lowest share price, aligning the time frame with the investor message, spanning 972 trading days from 2019 to 2022. In line with Mallikarjuna and Rao (2019) and Nimal (1997), this study uses closing prices to define stock market returns: Statistical descriptions of the stock price data are shown in Table 3.…”
Section: (C)mentioning
confidence: 99%