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...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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American Scientific Publishers
2017
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| Subjects: | |
| 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 |
| _version_ | 1848837975779049472 |
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| author | Gunathilaka, Chandana Mohamad, Jais Sophee Sulong, Balia Azlan Zainol, Abidin Kamarul Bahrain, Abdul Manaf |
| author_facet | Gunathilaka, Chandana Mohamad, Jais Sophee Sulong, Balia Azlan Zainol, Abidin Kamarul Bahrain, Abdul Manaf |
| author_sort | Gunathilaka, Chandana |
| building | UNIMAS Institutional Repository |
| collection | Online Access |
| description | 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 report evidence of small firm discount, together with persisting significance of the size effect. Evidence suggests that liquidity is the source of small discount. BM effect remains significant in explaining equity returns. Regardless of the evidence of short-term momentum trading profits, we dismiss application of a risk factor to the effect of momentum anomaly. Fama-French three-factor model, while efficient than CAPM, leaves a substantial unexplained component. The paper provides insights of the source of the size effect in equity returns, and pricing debate in Malaysian market. |
| first_indexed | 2025-11-15T06:48:12Z |
| format | Article |
| id | unimas-16056 |
| institution | Universiti Malaysia Sarawak |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T06:48:12Z |
| publishDate | 2017 |
| publisher | American Scientific Publishers |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | unimas-160562017-05-02T07:58:56Z http://ir.unimas.my/id/eprint/16056/ Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior Gunathilaka, Chandana Mohamad, Jais Sophee Sulong, Balia Azlan Zainol, Abidin Kamarul Bahrain, Abdul Manaf HF5601 Accounting HG Finance 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 report evidence of small firm discount, together with persisting significance of the size effect. Evidence suggests that liquidity is the source of small discount. BM effect remains significant in explaining equity returns. Regardless of the evidence of short-term momentum trading profits, we dismiss application of a risk factor to the effect of momentum anomaly. Fama-French three-factor model, while efficient than CAPM, leaves a substantial unexplained component. The paper provides insights of the source of the size effect in equity returns, and pricing debate in Malaysian market. American Scientific Publishers 2017-01 Article PeerReviewed text en 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 Gunathilaka, Chandana and Mohamad, Jais and Sophee Sulong, Balia and Azlan Zainol, Abidin and Kamarul Bahrain, Abdul Manaf (2017) Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior. Advanced Science Letters, 23 (1). pp. 15-19. ISSN 1936-6612 https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013167658&doi=10.1166%2fasl.2017.7285&partnerID=40&md5=79702ff22ec2ad52e7b0ae027c767467 DOI: 10.1166/asl.2017.7285 |
| spellingShingle | HF5601 Accounting HG Finance Gunathilaka, Chandana Mohamad, Jais Sophee Sulong, Balia Azlan Zainol, Abidin Kamarul Bahrain, Abdul Manaf Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title | Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title_full | Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title_fullStr | Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title_full_unstemmed | Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title_short | Reversed size, book-to-market and momentum effects: A review of Malaysian equity returns behavior |
| title_sort | reversed size, book-to-market and momentum effects: a review of malaysian equity returns behavior |
| topic | HF5601 Accounting HG Finance |
| url | http://ir.unimas.my/id/eprint/16056/ http://ir.unimas.my/id/eprint/16056/ 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 |