Please use this identifier to cite or link to this item: http://archive.cmb.ac.lk:8080/xmlui/handle/70130/6209
Full metadata record
DC FieldValueLanguage
dc.contributor.authorPerera, H.A.P.K.-
dc.contributor.authorEdiriwickrama, T.C.-
dc.date.accessioned2021-10-05T04:01:59Z-
dc.date.available2021-10-05T04:01:59Z-
dc.date.issued2019-
dc.identifier.citationPerera, H.A.P.K & Ediriwickrama, T.C. (2019). A revisit on idiosyncratic volatility puzzle: Evidence from Sri Lanka. Journal of Finance and Bank Management. 8 (2), p1-9.en_US
dc.identifier.urihttp://archive.cmb.ac.lk:8080/xmlui/handle/70130/6209-
dc.description.abstractThe inconclusive inferences on empirical findings on idiosyncratic volatility have created a substantive puzzle in the asset pricing literature.The purpose of this study is to analyze the long debated idiosyncratic volatility puzzle from a South Asian market point of view. Using 214 non-financial firms listed on the Colombo Stock Exchange over a period of 163 months from September 2004 to March 2018, this study documents that idiosyncratic volatility has a positive and statistically significant impact on average stock returns in Sri Lanka. Moreover, the empirical results confirm that idiosyncratic volatility is high with small stocks which are exposed to lower level of profits and investments. Thus, it is still questionable as to why there is a high demand for small stocks in the market. More importantly, the findings of current study on profitability and investment yield striking evidence on idiosyncratic volatility of stocks which is a marked departure from previous studies of its kind.en_US
dc.language.isoenen_US
dc.publisherAmerican Research Institute for Policy Developmenten_US
dc.subjectAsset pricingen_US
dc.subjectEGARCHen_US
dc.subjectIdiosyncratic volatilityen_US
dc.subjectSri Lankaen_US
dc.titleA Revisit on Idiosyncratic Volatility Puzzle: Evidence from Sri Lankaen_US
dc.typeArticleen_US
Appears in Collections:Department of Commerce & Finance

Files in This Item:
File Description SizeFormat 
Perera & Ediriwickrama (2019).pdf530.98 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.