The study looked at the relationship between risk and returns in the stock market using a model called CAPM. Researchers found that in a frontier market like the Colombo Stock Exchange, the traditional CAPM model did not hold true. They tested both unconditional and conditional versions of the model and found that there was no significant risk-return relationship in the stock returns during most test periods. However, they did find a positive relationship in individual stock returns during upmarket periods, but not during down market periods.