dc.contributor.author |
Gunathilaka, C. |
|
dc.contributor.author |
Jais, M. |
|
dc.contributor.author |
Balia, S.S. |
|
dc.contributor.author |
Abidin, A.Z. |
|
dc.contributor.author |
Manaf, K.B.A. |
|
dc.date.accessioned |
2017-11-10T09:48:00Z |
|
dc.date.available |
2017-11-10T09:48:00Z |
|
dc.date.issued |
2016 |
|
dc.identifier.citation |
Gunathilaka, C., Jais, M., Balia, S.S., Abidin, A.Z., Manaf, K.B.A. (2016). "Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior", Advanced Science Letters, Vol.23 (1) |
en_US, si_LK |
dc.identifier.uri |
http://dr.lib.sjp.ac.lk/handle/123456789/6776 |
|
dc.description.abstract |
Attached |
en_US, si_LK |
dc.description.abstract |
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 r is k -
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. |
|
dc.language.iso |
en_US |
en_US, si_LK |
dc.publisher |
Advanced Science Letters |
en_US, si_LK |
dc.subject |
BM |
en_US, si_LK |
dc.subject |
Malaysia |
en_US, si_LK |
dc.subject |
Pricing |
en_US, si_LK |
dc.subject |
Size |
en_US, si_LK |
dc.subject |
Stock |
en_US, si_LK |
dc.title |
Reversed Size, Book-to-Market and Momentum Effects: A Review of Malaysian Equity Returns Behavior |
en_US, si_LK |
dc.type |
Article |
en_US, si_LK |