Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior

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 r...

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Bibliographic Details
Main Authors: Gunathilaka, Chandana, Mohamad, Jais, Sophee Sulong, Balia, Azlan Zainol, Abidin, Kamarul Bahrain, Abdul Manaf
Format: Article
Language:English
Published: American Scientific Publishers 2017
Subjects:
HF5601 Accounting
HG Finance
Online Access:http://ir.unimas.my/id/eprint/16056/
http://ir.unimas.my/id/eprint/16056/1/Reversed-size%2C-book-to-market-and-momentum-effects-A-review-of-Malaysian-equity-returns-behavior_2017_Advanced-Science-Letters.html

Internet

http://ir.unimas.my/id/eprint/16056/
http://ir.unimas.my/id/eprint/16056/1/Reversed-size%2C-book-to-market-and-momentum-effects-A-review-of-Malaysian-equity-returns-behavior_2017_Advanced-Science-Letters.html

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