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The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia

The main objectives of this research are (1) to determine if capital structure affects stock returns (2) to examine if capital structure dynamic affects stock returns (3) to identify if market risk affects stock returns (4) to determine if market risk affects capital structure. This research used si...

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Main Author: Rina, Busri
Format: Thesis
Language:English
Published: 2010
Subjects:
HD28 Management. Industrial Management
Online Access:http://eprints.intimal.edu.my/560/1/MBA%20-%2019.pdf
http://eprints.intimal.edu.my/560/
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id my-inti-eprints.560
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spelling my-inti-eprints.5602016-11-07T03:54:22Z http://eprints.intimal.edu.my/560/ The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia Rina, Busri HD28 Management. Industrial Management The main objectives of this research are (1) to determine if capital structure affects stock returns (2) to examine if capital structure dynamic affects stock returns (3) to identify if market risk affects stock returns (4) to determine if market risk affects capital structure. This research used simple regression method to analyze the factors affecting the performance of stocks on companies listed in Bursa Malaysia over the period 2004-2008. This research used expected returns, actual returns, and risk-adjusted returns as proxy for stock returns. The hypothesis is that the capital structure, capital structure dynamics, and systematic risk significantly affect stock returns. The regression model revealed that leverage and changes in leverage significant effect on actual return and expected return. Systematic risk significantly affects expected returns. Finally, this research revealed that systematic risk does not affect capital structure (DER, CDER). In general, the findings of this research are consistent with CAPM theory and default risk premium theory. 2010 Thesis NonPeerReviewed text en http://eprints.intimal.edu.my/560/1/MBA%20-%2019.pdf Rina, Busri (2010) The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia. Masters thesis, INTI International University.
institution INTI International University
building INTI Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider INTI International University
content_source INTI Institutional Repository
url_provider http://eprints.intimal.edu.my
language English
topic HD28 Management. Industrial Management
spellingShingle HD28 Management. Industrial Management
Rina, Busri
The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
description The main objectives of this research are (1) to determine if capital structure affects stock returns (2) to examine if capital structure dynamic affects stock returns (3) to identify if market risk affects stock returns (4) to determine if market risk affects capital structure. This research used simple regression method to analyze the factors affecting the performance of stocks on companies listed in Bursa Malaysia over the period 2004-2008. This research used expected returns, actual returns, and risk-adjusted returns as proxy for stock returns. The hypothesis is that the capital structure, capital structure dynamics, and systematic risk significantly affect stock returns. The regression model revealed that leverage and changes in leverage significant effect on actual return and expected return. Systematic risk significantly affects expected returns. Finally, this research revealed that systematic risk does not affect capital structure (DER, CDER). In general, the findings of this research are consistent with CAPM theory and default risk premium theory.
format Thesis
author Rina, Busri
author_facet Rina, Busri
author_sort Rina, Busri
title The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
title_short The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
title_full The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
title_fullStr The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
title_full_unstemmed The Effect of Capital Structure and Systematic Risk on Stock Returns: Empirical Analysis of Companies Listed in Bursa Malaysia
title_sort effect of capital structure and systematic risk on stock returns: empirical analysis of companies listed in bursa malaysia
publishDate 2010
url http://eprints.intimal.edu.my/560/1/MBA%20-%2019.pdf
http://eprints.intimal.edu.my/560/
_version_ 1644541239001874432
score 13.211869

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