Illiquidity Exposure of Size and Value in Malaysian Equity Returns
This study examines pricing implications of size,value,illiquidity and momentum effects in Malaysia stock returns. It employs time series and panel methods in testing APT-motivated pricing models over a sample period of 14 years up to 2013. Results indicate the significance of illiquidity over size...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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The IBFR
2016
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/13950/ http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf |
| _version_ | 1848837532360376320 |
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| author | Mohamad, Jais Chandana, Gunathilaka |
| author_facet | Mohamad, Jais Chandana, Gunathilaka |
| author_sort | Mohamad, Jais |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | This study examines pricing implications of size,value,illiquidity and momentum effects in Malaysia stock returns. It employs time series and panel methods in testing APT-motivated pricing models over a sample period of 14 years up to 2013. Results indicate the significance of illiquidity over size and value factors. Capital Asstes Pricing Model (CAPM) poorly performs in explaining average stock return. An asset's exposure to size,value,momentum and illiquidity characteristics subordinates CAPM's explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet momentum risk factor is unable to improve the efficiency of pricing models. Application of illiquidity adjusted Fama-French three-factor model is apparently persuasive for investments and related decisions in Malaysia. |
| first_indexed | 2025-11-15T06:41:09Z |
| format | Article |
| id | unimas-13950 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:41:09Z |
| publishDate | 2016 |
| publisher | The IBFR |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-139502022-02-08T01:58:59Z http://ir.unimas.my/id/eprint/13950/ Illiquidity Exposure of Size and Value in Malaysian Equity Returns Mohamad, Jais Chandana, Gunathilaka HG Finance This study examines pricing implications of size,value,illiquidity and momentum effects in Malaysia stock returns. It employs time series and panel methods in testing APT-motivated pricing models over a sample period of 14 years up to 2013. Results indicate the significance of illiquidity over size and value factors. Capital Asstes Pricing Model (CAPM) poorly performs in explaining average stock return. An asset's exposure to size,value,momentum and illiquidity characteristics subordinates CAPM's explanatory power. Momentum trading strategy is profitable in short to intermediate horizons, yet momentum risk factor is unable to improve the efficiency of pricing models. Application of illiquidity adjusted Fama-French three-factor model is apparently persuasive for investments and related decisions in Malaysia. The IBFR 2016 Article PeerReviewed text en http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf Mohamad, Jais and Chandana, Gunathilaka (2016) Illiquidity Exposure of Size and Value in Malaysian Equity Returns. The International Journal of Business and Finance Research, 10 (2). pp. 81-90. ISSN 1931-0269 |
| spellingShingle | HG Finance Mohamad, Jais Chandana, Gunathilaka Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title | Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title_full | Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title_fullStr | Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title_full_unstemmed | Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title_short | Illiquidity Exposure of Size and Value in Malaysian Equity Returns |
| title_sort | illiquidity exposure of size and value in malaysian equity returns |
| topic | HG Finance |
| url | http://ir.unimas.my/id/eprint/13950/ http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf |