A5045450463- Financial Markets and Investment Strategies
- Market Dynamics and Volatility
- Insurance and Financial Risk Management
- Energy, Environment, Economic Growth
- Financial Risk and Volatility Modeling
- Sustainable Finance and Green Bonds
- Climate Change Policy and Economics
- Stock Market Forecasting Methods
- Corporate Social Responsibility Reporting
- Problem and Project Based Learning
- Monetary Policy and Economic Impact
University of Otago
2023-2024
University of Colombo
2020-2022
We study the effects of a firm's decision to disclose carbon emissions and intensity on idiosyncratic volatility (IdVol) US S&P 500 firms from 2009 2019. document that corporate reduces IdVol carbon-emissions-disclosing by 140 bps compared non-disclosing average. Although are being rewarded for disclosing their information, our robust evidence shows significant negative impact disclosed firms' IdVol. The magnitude effect increases with quantile, implying depends size firm-level risk. In...
We reveal a statistically and economically significant negative impact of firm’s exposure to climate change on its idiosyncratic volatility (IDVOL) from 2003 2020 in the US. Our robust results suggest that asset prices do not adequately reflect corporate exposures, indicating inefficient pricing risk market. further find firm-level ESG disclosures significantly weaken effect firms’ IDVOL, highlighting value-relevance information. Empirical evidence also documents firms polluting...
Our study offers intriguing evidence on the much-debated idiosyncratic volatility (IdVol) puzzle from a climate risk perspective. Using set of US-listed stocks July 2010 to December 2019, our robust portfolio- and stock-level results reveal that IdVol exists in both carbon-footprint-disclosing non-disclosing stocks. Furthermore, investors do not perceive significant difference between However, is concentrated high-carbon-intensive as far those are concerned, implying combined effect investor...
Traditionally, the success of asset pricing models is assessed in absence idiosyncratic volatility, as it believed that role volatility irrelevant. Nevertheless, existing literature shows matters decisions. Hence, this study aims to test performance five-factor model Fama and French (2015) presence volatility. This utilizes a sample 214 companies listed on Colombo Stock Exchange (CSE) except for those under banks, finance, insurance sectors over 163 months from September 2004 March 2018....
The complete diversification of idiosyncratic volatility is questionable due to factors such as market imperfections, investor irrationality and managerial decisions. Therefore, the purpose this study investigate impact on average stock returns in Sri Lankan context. Using five-factor asset pricing model Fama French (2015) along with Exponential Generalised Autoregressive Conditional Heteroskedasticity (EGARCH) estimated stocks firms listed Colombo Stock Exchange (CSE), except for banks,...
We study the effects of a firm's decision to disclose carbon emissions and intensity on idiosyncratic volatility (IdVol) U.S. S&P 500 firms from 2009 2019. document that corporate reduces IdVol carbon-emissions-disclosing by 153bps compared non-disclosing average. Although are being rewarded for disclosing their information, our robust evidence shows significant negative impact disclosed firms’ IdVol. The magnitude effect increases with quantile, implying depends size firm-level risk. In...
This study offers novel evidence on the long-debated idiosyncratic volatility (IdVol) puzzle from a climate risk perspective. Using set of U.S. listed firms that disclose carbon emissions July 2010 to December 2019, our robust portfolio- and stock-level results show IdVol exists predominantly in high-carbon-intensive firms. We further document negative premium cross-sectional returns is more pronounced those operate industries even absence attached firms’ intensity. Our findings also reveal...
A Revisit on Idiosyncratic Volatility Puzzle: Evidence from Sri Lanka H. A. P. K. Perera; T. C. Ediriwickrama Abstract The inconclusive inferences empirical findings idiosyncratic volatility have created a substantive puzzle in the asset pricing literature.The purpose of this study is to analyze long debated South Asian market point view. Using 214 non-financial firms listed Colombo Stock Exchange over period 163 months September 2004 March 2018, documents that has positive and statistically...
Conventionally, it is believed that the idiosyncratic volatility should not be priced at market equilibrium as can eliminated through diversification. Despite presence of inconsistent empirical evidence on volatility, current study aims to investigate from a frontier such Sri Lanka. Employing Fama and French five-factor model together with exponential generalised autoregressive conditional heteroskedasticity (EGARCH), individual stocks non-financial firms listed Colombo Stock Exchange (CSE)...
VIRTUAL TRAINING ON PROBLEM BASED LEARNING DURING COVID–19: THE POTENTIAL FOR SUCCESSFUL TRANSFER