Is idiosyncratic risk ignored in asset pricing: Sri Lankan evidence?

Future Business Journal

Table 4 Summary statistics of six portfolios formed on MC, PB and IVOL

Portfolio	MC			PB			IVOL
Portfolio	Mean excess returns	SD	T-statistics	Mean excess returns	SD	T-statistics	Mean excess returns	SD	T-statistics
P11	0.017	0.109	1.566	0.017	0.106	1.559	0.014	0.107	1.310
P12	0.017	0.108	1.518	0.015	0.106	1.333	0.015	0.108	1.369
P13	0.017	0.106	1.611	0.016	0.107	1.476	0.016	0.108	1.490
P14	0.014	0.108	1.281	0.016	0.105	1.502	0.016	0.105	1.436
P15	0.015	0.105	1.351	0.015	0.108	1.373	0.015	0.105	1.349
P16	0.014	0.107	1.316	0.015	0.109	1.363	0.017	0.109	1.515