Illiquidity Exposure of Size and Value in Malaysian Equity Returns

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...

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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/13950/1/Illiquidity.pdf
http://ir.unimas.my/id/eprint/13950/
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Institution: Universiti Malaysia Sarawak
Language: English
id my.unimas.ir.13950
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spelling my.unimas.ir.139502022-02-08T01:58:59Z http://ir.unimas.my/id/eprint/13950/ Illiquidity Exposure of Size and Value in Malaysian Equity Returns Mohamad, Jais Chandana, Gunathilaka HG Finance 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. The IBFR 2016 Article PeerReviewed text en http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf 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
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
topic HG Finance
spellingShingle HG Finance
Mohamad, Jais
Chandana, Gunathilaka
Illiquidity Exposure of Size and Value in Malaysian Equity Returns
description 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.
format Article
author Mohamad, Jais
Chandana, Gunathilaka
author_facet Mohamad, Jais
Chandana, Gunathilaka
author_sort Mohamad, Jais
title Illiquidity Exposure of Size and Value in Malaysian Equity Returns
title_short Illiquidity Exposure of Size and Value in Malaysian Equity Returns
title_full Illiquidity Exposure of Size and Value in Malaysian Equity Returns
title_fullStr Illiquidity Exposure of Size and Value in Malaysian Equity Returns
title_full_unstemmed Illiquidity Exposure of Size and Value in Malaysian Equity Returns
title_sort illiquidity exposure of size and value in malaysian equity returns
publisher The IBFR
publishDate 2016
url http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf
http://ir.unimas.my/id/eprint/13950/
_version_ 1724612329434251264

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