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

• Main Authors: Gunathilaka, Chandana, Mohamad, Jais, Sophee Sulong, Balia, Azlan Zainol, Abidin, Kamarul Bahrain, Abdul Manaf
• Format: E-Article
• Language: English
• Published: American Scientific Publishers 2017
• Subjects: HF5601 Accounting; HG Finance
• Online Access: 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; http://ir.unimas.my/id/eprint/16056/; https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013167658&doi=10.1166%2fasl.2017.7285&partnerID=40&md5=79702ff22ec2ad52e7b0ae027c767467
• Institution: Universiti Malaysia Sarawak

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...