Size and BM Effects on Stock Returns over Different Investment Periods: Evidence from Sri Lanka

Kongahawatte, S.D.L; Nimal, P.D

dc.contributor.author	Kongahawatte, S.D.L
dc.contributor.author	Nimal, P.D
dc.date.accessioned	2021-01-25T04:52:53Z
dc.date.available	2021-01-25T04:52:53Z
dc.date.issued	2019-10-19
dc.identifier.isbn	978-955-644-060-7
dc.identifier.uri	http://repo.lib.sab.ac.lk:8080/xmlui/handle/123456789/1605
dc.description.abstract	The purpose of this study is to find out whether Fama and French Three Factor Model (FF3FM) holds for different investment periods. The sample covers listed stocks in the Colombo Stock Exchange from 1998 to 2013. Nine Size-BM portfolios are constructed each year for the analysis. The analysis is done for four investment periods ranging from one month to one year. The results indicate that the impact of Market is significant for all the portfolios across all the investment periods. However, impact of size is significant only for small and medium size portfolios, and the impact of Book to Market is significant mostly for portfolios associated with high Book to Market values across all the investment periods. Further, the results reveal that FF3FM is valid for all the investment periods and the power of the model increases slightly as the investment period lengthens.	en_US
dc.language.iso	en	en_US
dc.publisher	Belihuloya, Faculty of Management Studies, Sabaragamuwa University of Sri Lanka	en_US
dc.subject	Market	en_US
dc.subject	Size	en_US
dc.subject	Book to Market	en_US
dc.subject	Size-BM Portfolios	en_US
dc.subject	Stock Returns	en_US
dc.title	Size and BM Effects on Stock Returns over Different Investment Periods: Evidence from Sri Lanka	en_US
dc.type	Article	en_US