Title: Determinants of the cross-section of stock returns in the Malaysian stock market
Abstract: This paper reports the results of a series of tests of factors driving returns in the Malaysian Stock Market. Tests of the market model indicate an inverse relationship between beta and expected return. There is strong evidence of a size effect which is reversed in a few periods. The book to market anomaly is significant in many years, with cumulative returns for the fifteen year sample period (1977–1992) suggesting significant premiums to the high book to market portfolio. However, the nonparametric tests over three year windows do not reveal strong effects.
Publication Year: 1998
Publication Date: 1998-01-01
Language: en
Type: article
Indexed In: ['crossref']
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Cited By Count: 10
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