Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka

Perera, H. A. P. K.; Ediriwickrama, T. C.

dc.contributor.author	Perera, H. A. P. K.
dc.contributor.author	Ediriwickrama, T. C.
dc.date.accessioned	2021-01-11T04:54:56Z
dc.date.available	2021-01-11T04:54:56Z
dc.date.issued	2021-12
dc.identifier.issn	2579-2210
dc.identifier.issn	1800-363x
dc.identifier.uri	http://220.247.247.85:8081/handle/123456789/36834
dc.description.abstract	The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions. Therefore, the purpose of this study is to investigate the impact of idiosyncratic volatility on average stock returns in the Sri Lankan context. Using the five-factor asset pricing model of Fama and French (2015) along with Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) estimated idiosyncratic volatility of stocks of firms listed on the Colombo Stock Exchange (CSE), except for firms in banks, finance and insurance sectors, this study reveals a positive and statistically significant association between average stock returns and idiosyncratic volatility for the sample period from September 2004 to March 2018. The empirical findings on firm profitability and investment yield striking evidence on idiosyncratic volatility of stocks from a frontier market perspective, while uncovering the importance of further research on the investor behaviour on asset pricing decisions	en_US
dc.language.iso	other	en_US
dc.publisher	Faculty of Management & Finance, University of Colombo	en_US
dc.relation.ispartofseries	Volume. 11;No. 02
dc.subject	CSE	en_US
dc.subject	EGARCH	en_US
dc.subject	Five-factor Asset Pricing Model	en_US
dc.subject	Idiosyncratic Volatility	en_US
dc.subject	Sri Lanka	en_US
dc.title	Impact of Idiosyncratic Volatility on Average Stock Returns: Evidence from Sri Lanka	en_US
dc.type	Article	en_US
dc.identifier.accno	45742	en_US