creators_name: Yee, Tat Kong
type: thesis
datestamp: 2009-12-07 02:13:04
lastmod: 2013-07-19 08:30:11
metadata_visibility: show
corp_creators: Open University Malaysia (OUM)
title: Effect of size and book-to-market on stock returns: evidence in Malaysia 
ispublished: unpub
subjects: HG
full_text_status: public
keywords: Book-to-market effect ; Relationship between book-to-market and stock returns
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)
date: 2006-08
date_type: submitted
institution: Open University Malaysia (OUM)
department: Centre for Graduate Studies (CGS)
thesis_type: masters
citation:   Yee, Tat Kong  (2006) Effect of size and book-to-market on stock returns: evidence in Malaysia.  Masters thesis, Open University Malaysia (OUM).   
document_url: https://library.oum.edu.my/repository/322/1/yee_effect.pdf