Date of Award

1-1-2000

Thesis Type

Masters

Document Type

Thesis

Divisions

Faculty of Business and Economics

Department

-

Institution

Universiti Malaya

Abstract

Results of empirical tests on the relationship between stock returns and arious risk factors of sixty stocks in the Kuala Lumpur Stock Exchange over the eriod 1979-1998 are presented in this study. Overall the applicability of the capital sset pricing model in Kuala Lumpur Stock Exchange using monthly data is absent. 1arket risk alone or with another risk factors are unable to explain the variation in verage returns. However, there is a significant non-linear relationship between verage returns of individual stocks and market risk in two test periods 1983-86 and 995-98. This study also finds that other risk factors are significant in explaining the 3riation in average returns. Among them, skewness of the return distribution explains the variation in stock returns and portfolio during the test periods 1983-1986 1d 1995-1998 respectively. Total risk accounts for the variation in stock or portfolio, turns during the test period 1987-1990. Firm size is a significant variable during the 3riod 1995-1998 but the positive relationship obtained contradicts those obtained by :her studies. Lastly, price-to-book value ratio appears to explain the variation in 1turns during the period 1992-1995 and the combined period 1992-1998 when portfolios were sorted by size then by beta.

Initial

snms

Additional Information

Dissertation (M.A) -- Faculty of Business and Economics, Universiti Malaya, 2000.

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