Browsing by Author "Jayasinghe, J.A.G.P."

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    Market Anomalies, Assets Pricing Models and Stock Return: Evidence from Colombo Stock Exchange
    (Faculty of Commerce and Management Studies University of Kelaniya., 2024-11-01) Jayasinghe, J.A.G.P.; Pathirawasam, C.
    Exploring the factors determining stock prices and returns is an everlasting aspiration in the financial world. This research study aims to discover factors determining the stock return using market anomalies and asset pricing models for the Colombo Stock Exchange. The research relied upon secondary data obtained from the Colombo Stock Exchange data library and the relevant accounting data are taken from published annual reports of respective listed companies. The sample includes all common stocks except the financial sector quoted on the Colombo Stock Exchange for at least five years between 2010 and 2023. Hypothesis testing will be used to identify market anomalies, and an asset pricing model will be tested using the detected anomalies with regression analysis. It is expected to present the best asset pricing model for Sri Lankan stocks to capture the cross sections of stock returns by incorporating the existing anomalies into the basic capital asset pricing model. The conclusions of this study will be useful to all parties interested in the stock market. This study is focused solely on risk variables and the Colombo Stock Exchange.