Illiquidity Exposure of Size and Value in Malaysian Equity Returns
This study examines pricing implications of size,value,illiquidity and momentum effects in Malaysia stock returns. It employs time series and panel methods in testing APT-motivated pricing models over a sample period of 14 years up to 2013. Results indicate the significance of illiquidity over size...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
The IBFR
2016
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| Subjects: | |
| Online Access: | http://ir.unimas.my/id/eprint/13950/1/Illiquidity.pdf http://ir.unimas.my/id/eprint/13950/ |
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