This paper investigates the relationship between stock returns and inflation in Sri Lanka using monthly and quarterly data for the period January 1985 to August 1996 with a view to provide empirical evidence on the generalized Fisher Hypothesis which states that nominal stock returns are...

This study investigates the ability of market beta, book-to-market equity, leverage, and earnings-price ratio to explain the cross-sectional variation in expected returns in the small stock market of Sri Lanka. The results show that, inconsistent with the central prediction of the Capital Asset...

This study examines the use and the determinants of leverage in a cross-section of quoted companies in Sri Lanka using a sample of firms listed in the Colombo Stock Exchange. The results indicate that the use of long-term debt is relatively low. The tangibility and growth opportunities are not...

This paper examines the ability of dividend yields to predict expected stock returns in the Colombo Stock Exchange in the 1989-1997 period. The results show that dividend yields predict expected returns reliably in return horizons up to three years, except in monthly returns. The predictable...

This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...

This paper examines long-horizon predictability of stock prices in Sri Lanka using 1-4 year real returns on indices for market and industry portfolio during the 1985-97 period. In a model of prices, which contains a random walk component and a slowly decaying transitory price component, which...

This study investigates the ability of market beta, book-to-market equity, leverage, and earnings-price ratio to explain the cross-sectional variation in expected returns in the stock market of Sri Lanka. The sample of the study consists of a total of 88 companies which are listed on the Colombo...

This study develops and estimates the level of profitability and pessimism/optimism in the stock markets of the Russian Federation, Czech Republic, Estonia, Hungary, Latvia, Lithuania, Poland, Romania and Slovenia and compares them with the U.S. market. The risk premium associated with the...

The portfolio performance evaluation involves the determination of how a managed portfolio has performed relative to some comparison benchmark. Performance evaluation methods generally fall into two categories, namely conventional and risk-adjusted methods. The most widely used conventional...

This study examines the impact of liberalization of the Sri Lankan stock market on return volatility. We specify GARCH and TGARCH models of volatility, and estimate them using 16 years of weekly returns for the period from 1985 to 2000. The results show that liberalization of the market to...