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Optimal portfolio construction : a case in bursa Malaysia

This study investigates the adoption of portfolio construction in Malaysia stock market by using financial ratios such as economic value added (EVA), price earnings ratio (PER), book-to-market ratio (BM), size or market capitalization (MC) and dividend yield (DIV) from the year of 2009-2014. The aim...

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Bibliographic Details
Main Author: Chin, Mei Han
Format: Final Year Project Report
Language:English
English
Published: Universiti Malaysia Sarawak, (UNIMAS) 2015
Subjects:
HF Commerce
Online Access:http://ir.unimas.my/id/eprint/12332/1/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%2824pgs%29.pdf
http://ir.unimas.my/id/eprint/12332/8/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%28fulltext%29.pdf
http://ir.unimas.my/id/eprint/12332/
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spelling my.unimas.ir.123322023-01-27T07:26:19Z http://ir.unimas.my/id/eprint/12332/ Optimal portfolio construction : a case in bursa Malaysia Chin, Mei Han HF Commerce This study investigates the adoption of portfolio construction in Malaysia stock market by using financial ratios such as economic value added (EVA), price earnings ratio (PER), book-to-market ratio (BM), size or market capitalization (MC) and dividend yield (DIV) from the year of 2009-2014. The aim of this study is to identify the optimum portfolio construction that generates maximum revenue for investors. Only 100 listed companies in Bursa Malaysia are being selected in constructing the portfolios - ATOP, BBOT, and CMID. The results of mean equality test derived are mostly insignificant results yet there is positive excess return (0.39%) found in portfolio with low performing DIV companies. The findings of this study also revealed that portfolio constructions which employ financial ratios are suitable for 2-3 years holding period investment. Most of the constructed portfolio show drastic drop of return after three years of holding period. Among the five portfolios, this paper suggests the best choice of portfolio construction for short term investment is to construct portfolio using DIV or MC Universiti Malaysia Sarawak, (UNIMAS) 2015 Final Year Project Report NonPeerReviewed text en http://ir.unimas.my/id/eprint/12332/1/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%2824pgs%29.pdf text en http://ir.unimas.my/id/eprint/12332/8/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%28fulltext%29.pdf Chin, Mei Han (2015) Optimal portfolio construction : a case in bursa Malaysia. [Final Year Project Report] (Unpublished)
institution Universiti Malaysia Sarawak
building Centre for Academic Information Services (CAIS)
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Sarawak
content_source UNIMAS Institutional Repository
url_provider http://ir.unimas.my/
language English
English
topic HF Commerce
spellingShingle HF Commerce
Chin, Mei Han
Optimal portfolio construction : a case in bursa Malaysia
description This study investigates the adoption of portfolio construction in Malaysia stock market by using financial ratios such as economic value added (EVA), price earnings ratio (PER), book-to-market ratio (BM), size or market capitalization (MC) and dividend yield (DIV) from the year of 2009-2014. The aim of this study is to identify the optimum portfolio construction that generates maximum revenue for investors. Only 100 listed companies in Bursa Malaysia are being selected in constructing the portfolios - ATOP, BBOT, and CMID. The results of mean equality test derived are mostly insignificant results yet there is positive excess return (0.39%) found in portfolio with low performing DIV companies. The findings of this study also revealed that portfolio constructions which employ financial ratios are suitable for 2-3 years holding period investment. Most of the constructed portfolio show drastic drop of return after three years of holding period. Among the five portfolios, this paper suggests the best choice of portfolio construction for short term investment is to construct portfolio using DIV or MC
format Final Year Project Report
author Chin, Mei Han
author_facet Chin, Mei Han
author_sort Chin, Mei Han
title Optimal portfolio construction : a case in bursa Malaysia
title_short Optimal portfolio construction : a case in bursa Malaysia
title_full Optimal portfolio construction : a case in bursa Malaysia
title_fullStr Optimal portfolio construction : a case in bursa Malaysia
title_full_unstemmed Optimal portfolio construction : a case in bursa Malaysia
title_sort optimal portfolio construction : a case in bursa malaysia
publisher Universiti Malaysia Sarawak, (UNIMAS)
publishDate 2015
url http://ir.unimas.my/id/eprint/12332/1/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%2824pgs%29.pdf
http://ir.unimas.my/id/eprint/12332/8/Optimal%20portfolio%20construction%20%3B%20a%20case%20in%20bursa%20Malaysia%20%28fulltext%29.pdf
http://ir.unimas.my/id/eprint/12332/
_version_ 1756688289376501760
score 13.211869

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