Ebrahim, M.S., Hudson, R., Iqbal, Abdullah, Shah, M.E. (2016) Dispelling the Myth of a Value Premium: Contrary Evidence of Malaysian Crony Capitalism. International Journal of Banking Accounting and Finance, 7 (1). pp. 1-33. ISSN 1755-3830. E-ISSN 1755-3849. (doi:10.1504/IJBAAF.2016.079164) (KAR id:43793)
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Official URL: http://dx.doi.org/10.1504/IJBAAF.2016.079164 |
Abstract
This paper contradicts the existence of a universal value anomaly by studying Malaysia, a country with a unique institutional setting. We investigate this counter-example to attribute the anomaly to: (i) the leverage effect of value firms; (ii) the investment pattern of growth firms; and (iii) the economic environment. We find that the value premium cannot be ascribed solely to risk as that it is time varying and dependent on the attributes of the companies. Our results illustrate that small cap value firms perform relatively well during favourable economic conditions. In contrast, large cap growth firms perform better than their counterpart (i.e., large cap value firms) in economic upturns as they are preferentially awarded projects to revive the nation’s growth.
Item Type: | Article |
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DOI/Identification number: | 10.1504/IJBAAF.2016.079164 |
Uncontrolled keywords: | Asset Pricing, Growth (i.e., Glamour) Stocks, Multifactor Models, Real Options, Value (i.e., Unspectacular) Stocks. |
Subjects: | H Social Sciences > HG Finance |
Divisions: | Divisions > Kent Business School - Division > Department of Accounting and Finance |
Depositing User: | Abdullah Iqbal |
Date Deposited: | 30 Oct 2014 15:50 UTC |
Last Modified: | 04 Jul 2023 13:29 UTC |
Resource URI: | https://kar.kent.ac.uk/id/eprint/43793 (The current URI for this page, for reference purposes) |
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