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Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia

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  • Lau, Sie Ting
  • Lee, Chee Tong
  • McInish, Thomas H.

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  • Lau, Sie Ting & Lee, Chee Tong & McInish, Thomas H., 2002. "Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: evidence from Singapore and Malaysia," Journal of Multinational Financial Management, Elsevier, vol. 12(3), pages 207-222, July.
    • Handle: RePEc:eee:mulfin:v:12:y:2002:i:3:p:207-222
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    7. Banz, Rolf W., 1981. "The relationship between return and market value of common stocks," Journal of Financial Economics, Elsevier, vol. 9(1), pages 3-18, March.
    8. La Porta, Rafael, 1996. "Expectations and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 51(5), pages 1715-1742, December.
    9. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 275-293, August.
    10. Kothari, S P & Shanken, Jay & Sloan, Richard G, 1995. "Another Look at the Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 50(1), pages 185-224, March.
    11. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(1), pages 101-116, March.
    12. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
    13. Dimson, Elroy, 1979. "Risk measurement when shares are subject to infrequent trading," Journal of Financial Economics, Elsevier, vol. 7(2), pages 197-226, June.
    14. Basu, S, 1977. "Investment Performance of Common Stocks in Relation to Their Price-Earnings Ratios: A Test of the Efficient Market Hypothesis," Journal of Finance, American Finance Association, vol. 32(3), pages 663-682, June.
    15. Kim, Dongcheol, 1997. "A Reexamination of Firm Size, Book-to-Market, and Earnings Price in the Cross-Section of Expected Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 32(4), pages 463-489, December.
    16. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
    17. repec:bla:jfinan:v:44:y:1989:i:1:p:135-48 is not listed on IDEAS
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    1. Abdul Karim, Zulkefly & Zaidi, Mohd Azlan Shah & Karim, Bakri, 2011. "Does Firm-Level Equity Return Respond to Domestic and International Monetary Policy Shocks? A Panel Data Study of Malaysia," Jurnal Ekonomi Malaysia, Faculty of Economics and Business, Universiti Kebangsaan Malaysia, vol. 45, pages 21-31.
    2. Veeravel, V & Murugesan, Vijaya Prabhagar & Narayanamurthy, Vijayakumar, 2024. "Does ESG disclosure really influence the firm performance? Evidence from India," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 193-202.
    3. Zulkefly Abdul Karim & Mohd Azlan Shah Zaidi, 2015. "Monetary Policy, Firm Size and Equity Returns in An Emerging Market: Panel Evidence of Malaysia," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 11(2), pages 29-55.
    4. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, LAR Center Press, vol. 2(1), pages 108-121, February.
    5. Yuenan Wang & Amalia Di Iorio, 2007. "The cross-sectional relationship between stock returns and domestic and global factors in the Chinese A-share market," Review of Quantitative Finance and Accounting, Springer, vol. 29(2), pages 181-203, August.
    6. Narongdech Thakerngkiat & Hung T. Nguyen & Nhut H. Nguyen & Nuttawat Visaltanachoti, 2021. "Do accounting information and market environment matter for cross‐asset predictability?," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(3), pages 4389-4434, September.
    7. De Moor, Lieven & Sercu, Piet, 2011. "The smallest stocks are not just smaller: US and international evidence," Working Papers 2011/28, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    8. Lischewski, Judith & Voronkova, Svitlana, 2012. "Size, value and liquidity. Do They Really Matter on an Emerging Stock Market?," Emerging Markets Review, Elsevier, vol. 13(1), pages 8-25.
    9. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
    10. De Moor, Lieven & Sercu, Piet, 2013. "The smallest firm effect: An international study," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 129-155.
    11. Lee, Chin & Lee, Weng Hong, 2008. "Can financial ratios predict the Malaysian stock return?," MPRA Paper 59170, University Library of Munich, Germany.
    12. Ying Zhang & Yuting Guo & Aiman Nurdazym, 2023. "How do female CEOs affect corporate environmental policies?," Corporate Social Responsibility and Environmental Management, John Wiley & Sons, vol. 30(1), pages 459-472, January.
    13. Wang, Yuenan & Di Iorio, Amalia, 2007. "The cross section of expected stock returns in the Chinese A-share market," Global Finance Journal, Elsevier, vol. 17(3), pages 335-349, March.
    14. Pascual-Ezama, David & Paredes, Mercedes Rodríguez & Sanchez-Martín, María-del-Pilar & de Liaño, Beatriz Gil-Gómez, 2018. "Shorter and easier is more useful: A longitudinal analysis of how financial report enforcement affects individual investors," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 74(C), pages 29-37.
    15. Wang, Ming-Hui & Ke, Mei-Chu & Liang Liao, Tung & Chiang, Yi-Chein & Hsu, Chuan-Hao, 2020. "Alternative estimation method of earnings growth rate for PEGR strategy," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    16. Şebnem Er & Bengü Vuran Author-Workplace-Name: Teaching and Research Assistant, PhD, Istanbul University, Faculty of Business Administration, Finance Department, 2012. "Factors Affecting Stock Returns of Firms Quoted in ISE Market: A Dynamic Panel Data Approach," International Journal of Business and Social Research, MIR Center for Socio-Economic Research, vol. 2(1), pages 108-121, February.

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