Abstract: Capital Asset Pricing Model and Stock Return Variation: Evidence from Colombo Stock Exchange
International Journal of Science and Research (IJSR)

International Journal of Science and Research (IJSR)
Open Access | Fully Refereed | Peer Reviewed

ISSN: 2319-7064

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Research Paper | Finance | Sri Lanka | Volume 10 Issue 5, May 2021

Capital Asset Pricing Model and Stock Return Variation: Evidence from Colombo Stock Exchange

Thafani, A. R. F

Stock return variation is one of the prominent concerns in the financial literature and many researchers continue to unfold the underlying dynamics of the returns. The current study empirically investigates the applicability of Fama and French (1993) three factor model and Capital asset pricing model in Sri Lanka. The study employs Newey and West (1987) weighted average least square regression model for five portfolios constructed on profitability for a period from June 2009 to December 2018. The three factor model seems to be explaining the stock return variation in Sri Lanka based on the F statistics. However, the size and value factor are not found significant for any of the portfolios during the study period. The presence of market risk premium is robust throughout the sample period and therefore, it could be concluded that the CPAM is still applicable in explaining the stock return variation in Sri Lanka.

Keywords: assets pricing models, risk factors, stock returns

Edition: Volume 10 Issue 5, May 2021

Pages: 792 - 795

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How to Cite this Article?

Thafani, A. R. F, "Capital Asset Pricing Model and Stock Return Variation: Evidence from Colombo Stock Exchange", International Journal of Science and Research (IJSR), https://www.ijsr.net/search_index_results_paperid.php?id=SR21516014744, Volume 10 Issue 5, May 2021, 792 - 795

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