Illiquidity Exposure of Size and Value in Malaysian Equity Returns

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

[img]
Preview
PDF
Illiquidity Exposure of size and value in Malaysian Equity Returns (abstract).pdf

Download (802kB) | Preview

Abstract

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.

Item Type: Article
Uncontrolled Keywords: Pricing, Risk Factor, Illiquidity, research, Universiti Malaysia Sarawak, unimas, university, universiti, Borneo, Malaysia, Sarawak, Kuching, Samarahan, ipta, education
Subjects: H Social Sciences > HG Finance
Divisions: Academic Faculties, Institutes and Centres > Faculty of Economics and Business
Depositing User: Ibrahim
Date Deposited: 17 Oct 2016 02:15
Last Modified: 17 Oct 2016 02:15
URI: http://ir.unimas.my/id/eprint/13950

Actions (For repository members only: login required)

View Item View Item