Illiquidity Exposure of Size and Value in Malaysian Equity Returns

QR Code

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...

Full description

Bibliographic Details
Main Authors:	Mohamad, Jais, Chandana, Gunathilaka
Format:	Article
Language:	English
Published:	The IBFR 2016
Subjects:	HG Finance
Online Access:	http://ir.unimas.my/id/eprint/13950/ http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf

Similar Items

Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior
by: Gunathilaka, Chandana, et al.
Published: (2017)

Investor sentiment, human capital and Fama French factors: measurement and performance in the Malaysian market
by: Gunathilaka, Chandana, et al.
Published: (2019)

Monetary policy shocks, financial constraints and firm- level equity return: Panel evidence
by: Zulkefly, Abdul Karim, et al.
Published: (2013)

The illiquidity premium: International Evidence
by: Amihud, Y., et al.
Published: (2014)

Effect of size and book-to-market on stock returns: evidence in Malaysia
by: Yee, Tat Kong
Published: (2006)

Size, Value and Momentum in Pakistan Equity Markets: Size and Liquidity Exposures.
by: Bangash, Romana, et al.
Published: (2018)

Illiquidity and stock returns: Evidence from UK stock market over 1993 to 2008
by: Wang, Shuyan
Published: (2009)

The financial ratio usage towards predicting stock returns in Malaysia
by: Mohamad, Jais, et al.
Published: (2012)

Making Mudarabah workable: altering risk-return profiles through equity Kickers
by: Mustaffa Kamil, Nazrol Kamil, et al.
Published: (2011)

The influence of shadow banking, bank size, credit risk, and macroeconomics factors on return: the case of banks in Malaysia
by: Chan, Chi Jing, et al.
Published: (2019)

The influence of shadow banking, bank size, credit risk, and macroeconomics factors on return: the case of banks in Malaysia
by: Chan, Chi Jing, et al.
Published: (2019)

Study Of The Determinants Of Debt-Equity Choice In The Malaysian Corporate Sector
by: Sarada, L.
Published: (2008)

Foreign currencies exposures of Malaysia firms : does hedging strategy explain stock returns?
by: Chang, Hui Siang
Published: (2011)

The role of illiquidity risk factor in asset pricing models: Malaysian evidence
by: Ruzita Abdul Rahim,, et al.
Published: (2007)

Malaysian equity market and its trading blocs : a study on the long-run relationships
by: Chong, Kai Xuan, et al.
Published: (2011)

Risk and return relationship in Malaysian finance sector: empirical evidence from capm
by: Wong, Wang Ling
Published: (2012)

Size and value premium, performance and dynamic linkages of penny stocks in Malaysia / T. Shanmugam Thangavelu
by: T. Shanmugam, Thangavelu
Published: (2019)

New Islamic equity style indices and their application in Malaysian capital markets / Shahrin Saaid Shaharuddin
by: Shahrin Saaid , Shaharuddin
Published: (2017)

Gharar and mispricing of equity warrants, Malaysian evidence
by: Haron, Razali
Published: (2014)

A study on risk and predictability of return in the Malaysian securities market / Tan Kia Liang
by: Tan, Kia Liang
Published: (1997)

Forecasting Malaysian stock returns using GPR and EPU - an in-sample and out-of-sample analysis
by: Hong, Way Hong, et al.
Published: (2020)

Growth and value effect on Jakarta Islamic Index: analysis towards performance of Sharia equity mutual fund
by: Rusmita, Sylva Alif, et al.
Published: (2019)

Seasonal anomalies of stocks in ASEAN equity markets
by: Kok, Kim Lian, et al.
Published: (2004)

Islamic equity market
by: Mustaffa Kamil, Nazrol Kamil
Published: (2012)

Risk Disclosure And Its Effect On Shareholder Returns - An Empirical Study On Malaysian Initial Public Offerings
by: Murugesu, John
Published: (2007)

Stock Return, Currency and General Elections
by: Ong, Tze San, et al.
Published: (2015)

Volume And Stock Returns In Bursa Malaysia
by: Yeen, Chue Wen
Published: (2009)

The Capital Structure Of Malaysian Firms In The Aftermath Of Asian Financial Crisis 1997
by: Liew, Lewis Teo Piaw, et al.
Published: (2014)

Do fundamental factors explain stock returns
by: Tan, Juan Yi, et al.
Published: (2012)

Impact of the 2007 US financial crisis on the emerging equity markets
by: Abdul Majid, M. Shabri, et al.
Published: (2009)

Return On Equity : An Empirical Study
by: Ong, Pow Ying
Published: (2000)

The performance of Local Majority Equity Companies (LMECs) and Foreign Majority Equity Companies (FMECs) in the Kuala Lumpur Stock Exchange : before and during the financial crisis / Fadillah Mansor
by: Mansor, Fadillah
Published: (2001)

The effect of debt securities issuance towards equity market behavior in Malaysia
by: Chin, Sze Kim*, et al.
Published: (2012)

A rolling return analysis of the buy-and-hold strategy
by: Gan, Aileen Li-Shen
Published: (2013)

The effect of government policy on stock market return in Malaysia
by: Wu, Chia Ping, et al.
Published: (2014)

An analysis of Islamic banks' exposure to rate of return risk
by: Zainol, Zairy, et al.
Published: (2010)

Seasonality in stock returns : the Malaysian phenomenon from 1976 to 1996 : in comparison with selected international stock markets / Beh Teng Soon
by: Beh, Teng Soon
Published: (1997)

Dividend Payout Policy and Operating Performance at Kuala Lumpur Stock Exchange
by: Mohamad, Jais
Published: (2007)

The Choice between Dividend and Share Repurchase
by: Mohamad, Jais
Published: (2011)

Corporate Social Responsibility Disclosure and Cost Equity Capital in Industrial Product Industry
by: Mohd Waliuddin, Mohd Razali, et al.
Published: (2017)