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dc.contributor.authorDrew, ME
dc.contributor.authorVeeraraghavan, M
dc.contributor.editorShinichi Ichimura, Steven N S Cheung
dc.date.accessioned2017-05-03T12:46:58Z
dc.date.available2017-05-03T12:46:58Z
dc.date.issued2002
dc.date.modified2007-03-14T21:39:43Z
dc.identifier.issn1351-3958
dc.identifier.doi10.1111/1467-8381.00156
dc.identifier.urihttp://hdl.handle.net/10072/7043
dc.description.abstractIn this study of asset pricing in emerging markets, two questions are asked. First, Is there a size and value premium in markets outside the USA? Second, Can the multifactor model of Fama and French (1996) capture the cross-section of average stock returns for the Malaysian setting? The answers from this study suggest that size and value premium exist in markets outside the USA. We find that the two mimic portfolios, 'small minus big' (SMB) and 'high minus low' (HML), generate a return of 17.70% and 17.69% per annum, respectively, while the market generates a return of 1.92% per annum. Our findings suggest that the multi-factor model of Fama and French (1996) is a parsimonious representation of the risk factors for Malaysia, explaining returns in an economically meaningful manner. Our findings also reject the claim that the multifactor model results can be explained by the turn-of-the-year effect.
dc.description.peerreviewedYes
dc.description.publicationstatusYes
dc.languageEnglish
dc.language.isoeng
dc.publisherBlackwell Publishing Ltd.
dc.publisher.placeUnited Kingdom
dc.publisher.urihttp://www.blackwell-synergy.com/doi/abs/10.1111/1467-8381.00156
dc.relation.ispartofpagefrom337
dc.relation.ispartofpageto351
dc.relation.ispartofissue4
dc.relation.ispartofjournalAsian Economic Journal
dc.relation.ispartofvolume16
dc.subject.fieldofresearchEconomics
dc.subject.fieldofresearchcode38
dc.titleA closer look at the size and value premium in emerging markets: evidence from the Kuala Lumpur stock exchange
dc.typeJournal article
dc.type.descriptionC1 - Articles
dc.type.codeC - Journal Articles
gro.rights.copyright© 2002 Blackwell Publishing. The definitive version is available at [www.blackwell-synergy.com.]
gro.date.issued2002
gro.hasfulltextNo Full Text
gro.griffith.authorDrew, Michael E.


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