Yee, Tat Kong (2006) Effect of size and book-to-market on stock returns: evidence in Malaysia. Masters thesis, Open University Malaysia (OUM).
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Abstract
This study examines the information content of two firm-specific characteristics', firm size and book-to-market effect on the Malaysian Stock market returns for the year 2004 and 2005. A sample of seventy companies stocks listed in Kuala Lumpur Stock Exchange Composite Index was used for this study. The regression results show a negative relationship between book-to-market and stock returns. However, the results from the various sectors did not show any significant effect of book-to-market on stock returns. The finding is contrary to Fama and French (1992) in which positive relationship between book-to-market and stock returns was observed. Empirical results prove that book-to-market ratio cannot explain cross sectional variation in stock returns and has weak support in Malaysia context, while the size effect is not significant. Thus the overall results show that both book-to-market ratio and firm size do not have impact on stock returns. The evidence appears to support the efficient market hypothesis. (Author's abstract)
| Item Type: | Thesis (Masters) |
|---|---|
| Uncontrolled Keywords: | Book-to-market effect ; Relationship between book-to-market and stock returns |
| Subjects: | H Social Sciences > HG Finance |
| Depositing User: | Shahril Effendi Ibrahim |
| Date Deposited: | 07 Dec 2009 02:13 |
| Last Modified: | 19 Jul 2013 08:30 |
| URI: | http://library.oum.edu.my/repository/id/eprint/322 |
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