Relationship between stock return and financial ratios: evidence from Malaysia
This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression re...
| Main Author: | |
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| Format: | Thesis |
| Language: | English |
| Published: |
Universiti Malaysia Sarawak, (UNIMAS)
2015
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/10875/ http://ir.unimas.my/id/eprint/10875/2/Ang%20Hui%20Mei%20ft.pdf |
| _version_ | 1848836880548757504 |
|---|---|
| author | Ang, Hui Mei |
| author_facet | Ang, Hui Mei |
| author_sort | Ang, Hui Mei |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was
performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression results are free from any econometric biases. The
results of this study show that book-to-market ratio can be used to explain future stocks returns in full sample period, pre-crisis, during crisis and post crisis whereas dividend
yield portray weak explanatory power in pre-crisis only. Since both dividend yield and book-to-market ratio can be used to predict future stock return, therefore it has
contradicted with semi-strong form of market efficiency. Hence, it is believed that there is a possibility for investors to outperform the market. |
| first_indexed | 2025-11-15T06:30:48Z |
| format | Thesis |
| id | unimas-10875 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:30:48Z |
| publishDate | 2015 |
| publisher | Universiti Malaysia Sarawak, (UNIMAS) |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-108752025-05-13T03:50:59Z http://ir.unimas.my/id/eprint/10875/ Relationship between stock return and financial ratios: evidence from Malaysia Ang, Hui Mei HG Finance This paper examines the explanatory power of dividend yield, earnings yield and bookto- market ratio towards future stock return in Malaysia. Panel Regression Analysis was performed to determine the relationship while diagnostic checks and robustness checks were executed to ensure the regression results are free from any econometric biases. The results of this study show that book-to-market ratio can be used to explain future stocks returns in full sample period, pre-crisis, during crisis and post crisis whereas dividend yield portray weak explanatory power in pre-crisis only. Since both dividend yield and book-to-market ratio can be used to predict future stock return, therefore it has contradicted with semi-strong form of market efficiency. Hence, it is believed that there is a possibility for investors to outperform the market. Universiti Malaysia Sarawak, (UNIMAS) 2015 Thesis NonPeerReviewed text en http://ir.unimas.my/id/eprint/10875/2/Ang%20Hui%20Mei%20ft.pdf Ang, Hui Mei (2015) Relationship between stock return and financial ratios: evidence from Malaysia. Masters thesis, Universiti Malaysia Sarawak. |
| spellingShingle | HG Finance Ang, Hui Mei Relationship between stock return and financial ratios: evidence from Malaysia |
| title | Relationship between stock return and financial ratios: evidence from Malaysia |
| title_full | Relationship between stock return and financial ratios: evidence from Malaysia |
| title_fullStr | Relationship between stock return and financial ratios: evidence from Malaysia |
| title_full_unstemmed | Relationship between stock return and financial ratios: evidence from Malaysia |
| title_short | Relationship between stock return and financial ratios: evidence from Malaysia |
| title_sort | relationship between stock return and financial ratios: evidence from malaysia |
| topic | HG Finance |
| url | http://ir.unimas.my/id/eprint/10875/ http://ir.unimas.my/id/eprint/10875/2/Ang%20Hui%20Mei%20ft.pdf |