Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior

• Main Authors: Gunathilaka, Chandana, Jais, Mohamad, Balia, Sophee Sulong, Abidin, Azlan Zainol, Abdul Manaf, Kamarul Bahrain
• Format: Article
• Published: Advanced Science Letters 2017
• Subjects: HD28 Management. Industrial Management
• Online Access: http://repo.uum.edu.my/23653/; http://doi.org/10.1166/asl.2017.7285

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...