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Dispelling the Myth of a Value Premium: Contrary Evidence of Malaysian Crony Capitalism

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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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
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: Faculties > Social Sciences > Kent Business School > Accounting and Finance
Depositing User: Abdullah Iqbal
Date Deposited: 30 Oct 2014 15:50 UTC
Last Modified: 29 May 2019 13:18 UTC
Resource URI: (The current URI for this page, for reference purposes)
Iqbal, Abdullah:
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