Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?
Abstract 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 Fam...
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| Format: | Article |
| Language: | English |
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SpringerOpen
2019-12-01
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| Series: | Future Business Journal |
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| Online Access: | https://doi.org/10.1186/s43093-019-0004-6 |