The Expected Stock Returns Of Malaysian Firms: A Panel Data Analysis

Pandey, Indra

doi:10.2139/ssrn.299913

Cited by 18 publications

(17 citation statements)

References 39 publications

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“…This finding contradicts the concept of CAPM in which beta is supposed to be positively correlated with stock return. Studies on the Kuala Lumpur Stock Exchange and Istanbul Stock Exchange also indicate that beta is positively correlated with stock return (Chambers et al, 2013;Pandey, 2001). However, according to other research, this relationship can be negative in other emerging markets (Mollah & Mobarek, 2005).…”

Section: Firm Beta and Stock Returnsmentioning

confidence: 99%

Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange

Ferdaous

Barua

2020

Asian Economic and Financial Review

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Section: Firm Beta and Stock Returnsmentioning

confidence: 99%

Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange

Ferdaous

Barua

2020

Asian Economic and Financial Review

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“…Pandey (2001) studied panel data set of 1729 observations to identify variables that could explain expected returns of Malaysian stocks. The explanatory power of size (natural log of market capitalization) was the highest.…”

Section: Introductionmentioning

confidence: 99%

Application of Fama and French Three Factor Model and Stock Return Behavior in Indian Capital Market

Mehta¹,

Chander

2010

Asia Pacific Business Review

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The present study is designed to empirically test the three factor model suggested by Fama and French on Indian stock market and to document the evidences as to how firm characteristics are used as a better way to explain the stock return behavior. Fama-French (1993) used value factors to elaborate the explanatory power of CAPM. The present study has considered companies listed under the BSE 500 index series for the empirical tests. The overall findings indicated that the three factor model given by Fama and French is more powerful, than its other variants of taking one or two factors in explaining the variability in the returns of all six portfolios.

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“…In addition, several studies have documented a positive relationship between profitability and dividend payments and stock prices (Han et al, 1999, andFrench, 2002). Data from ECMs also support the claim that profitability is one of the most important factors determining the dividend policy and stock prices (Pandey, 2001 andAivazian et al, 2003).…”

Section: Profitability Positionmentioning

confidence: 80%

Factors Affecting Dividend Policyin an Emerging Capital Markets (ECM’s) Country: Theoratical and Empirical Study

Masry¹,

Ahmed²,

Amer³

2018

IJEFM

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The dividend decision is taken after careful consideration of a number of factors, such as legal and financial. This is because it is impossible to develop a dividend policy set that applies to all companies. The decision about dividends differs from company to company in the light of company considerations. The dividend is partly dependent on the current earning of the company and partly on the dividend from the previous year. Therefore, the main changes in profit with the existing rate of dividends were the main determinants of corporate dividend policy. The research showed that the profitability aspects and their indicators for each of the return on equity return on asset, and earning per share without dividend yield, have the greatest impact on share price performance, followed by the financial risks aspect of financial leverage without gains variation which comes in the second rank. Then, the factor of size, investment opportunity for each of investment opportunity and net profit standard deviation without assets volume comes in the third place and finally, the liquidity and signals factor represented in the cash ratio without signals index. While the profitability aspects and its indicators for each of the return on equity, return on asset, earning per share without dividend yield are the most effective on pay-out ratio (first rank), followed by financial risks aspect and gains variation coefficient without financial leverage in the second rank, then the liquidity factor of index without the signals in the third place and finally size and investment opportunity factor for each of investment opportunity and assets volume without net profit standard deviation.

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The Expected Stock Returns Of Malaysian Firms: A Panel Data Analysis

Cited by 18 publications

References 39 publications

Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange

Firm-Specific Factors and Stock Returns: Evidence from Selected Private Commercial Banks Listed on the Dhaka Stock Exchange

Application of Fama and French Three Factor Model and Stock Return Behavior in Indian Capital Market

Factors Affecting Dividend Policyin an Emerging Capital Markets (ECM’s) Country: Theoratical and Empirical Study

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