Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior
This paper reviews behavior of widely documented equity market return anomalies and their pricing implications in multifactor asset pricing models. We apply time series and panel tests for 24 risk—mimicking portfolios, formed over a period of 14 years.In contrast to prior findings in Malaysia, we re...
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2017
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my.uum.repo.236532018-03-15T01:35:13Z http://repo.uum.edu.my/23653/ Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior Gunathilaka, Chandana Jais, Mohamad Balia, Sophee Sulong Abidin, Azlan Zainol Abdul Manaf, Kamarul Bahrain HD28 Management. Industrial Management This paper reviews behavior of widely documented equity market return anomalies and their pricing implications in multifactor asset pricing models. We apply time series and panel tests for 24 risk—mimicking portfolios, formed over a period of 14 years.In contrast to prior findings in Malaysia, we report evidence of small firm discount, together with persisting significance of the size effect.Evidence suggests that liquidity is the source of small discount.BM effect remains significant in explaining equity returns. Regardless of the evidence of short-term momentum trading profits, we dismiss application of a risk factor to the effect of momentum anomaly.Fama-French three-factor model, while efficient than CAPM, leaves a substantial unexplained component. The paper provides insights of the source of the size effect in equity returns, and pricing debate in Malaysian market. Advanced Science Letters 2017 Article PeerReviewed Gunathilaka, Chandana and Jais, Mohamad and Balia, Sophee Sulong and Abidin, Azlan Zainol and Abdul Manaf, Kamarul Bahrain (2017) Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior. Advanced Science Letters, 23 (1). pp. 15-19. ISSN 1936-6612 http://doi.org/10.1166/asl.2017.7285 doi:10.1166/asl.2017.7285 |
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HD28 Management. Industrial Management Gunathilaka, Chandana Jais, Mohamad Balia, Sophee Sulong Abidin, Azlan Zainol Abdul Manaf, Kamarul Bahrain Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
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This paper reviews behavior of widely documented equity market return anomalies and their pricing implications in multifactor asset pricing models. We apply time series and panel tests for 24 risk—mimicking portfolios, formed over a period of 14 years.In contrast to prior findings in Malaysia, we report evidence of small firm discount, together with persisting significance of the size effect.Evidence suggests that liquidity is the source of small discount.BM effect remains significant in explaining equity returns. Regardless of the evidence of short-term momentum trading profits, we dismiss application of a risk factor to the effect of momentum anomaly.Fama-French three-factor model, while efficient than CAPM, leaves a substantial unexplained component. The paper provides insights of the source of the size effect in equity returns, and pricing debate in Malaysian market. |
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Article |
author |
Gunathilaka, Chandana Jais, Mohamad Balia, Sophee Sulong Abidin, Azlan Zainol Abdul Manaf, Kamarul Bahrain |
author_facet |
Gunathilaka, Chandana Jais, Mohamad Balia, Sophee Sulong Abidin, Azlan Zainol Abdul Manaf, Kamarul Bahrain |
author_sort |
Gunathilaka, Chandana |
title |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
title_short |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
title_full |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
title_fullStr |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
title_full_unstemmed |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
title_sort |
reversed size, book-to-market and momentum effects: a review of malaysian equity returns behavior |
publisher |
Advanced Science Letters |
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2017 |
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http://repo.uum.edu.my/23653/ http://doi.org/10.1166/asl.2017.7285 |
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1644283839529353216 |
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13.18916 |