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

Future Business Journal

Table 9 Summary of GRS test results for all the factor models

	GRS F-statistics	P value	Theta/thetas, proportion of the potential efficiency	Average absolute alpha value	Average R² (%)
Fama–French three factor
MC	0.746	0.614	0.826	0.003	97.1
PB*	2.371	0.036	0.635	0.003	97.1
IVOL	1.153	0.339	0.762	0.003	97.0
Three factors with idiosyncratic volatility
MC	0.710	0.642	0.839	0.003	97.1
PB*	2.617	0.022	0.626	0.003	96.9
IVOL	1.095	0.372	0.779	0.003	97.1
Four factors
MC	0.732	0.625	0.835	0.003	97.2
PB*	2.627	0.022	0.625	0.003	97.1
IVOL	1.144	0.344	0.772	0.003	97.1