On the Value Premium in Malaysia: Discussion Paper N0 92
Drew, Michael E. & Veeraraghavan, Madhu (2001) On the Value Premium in Malaysia: Discussion Paper N0 92. [Working Paper] (Unpublished)
Davis, Fama and French (2000) report that the value premium in United States’ stocks is robust. Herein, we present out-of-sample evidence for Malaysia, finding that value stocks outperform growth stocks and document an arbitrage opportunity. We observe that the mean monthly returns are substantially higher for the two mimic portfolios (SMB and HML) when compared with the market portfolio. For the period 1991 through 1999, an investor generated 1.92% (annually) holding the market portfolio in Malaysia, compared with the two mimic portfolios, SMB and HML with returns of 17.70% and 17.69% respectively. We also observe that the standard deviations for the two mimic portfolios are significantly lower than the standard deviation of the market portfolio. Moreover, the findings presented in this study reject the notion of survivorship bias advanced by Kothari, Shanken and Sloan (1995) and the data-snooping hypothesis attributed to Black (1993) and Mackinlay (1995) as an explanation for the value premium.
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|Item Type:||Working Paper|
|Additional Information:||Madhu Veeraraghavan**
**School of Accounting and Finance, Griffith University
|Keywords:||Asset pricing, multifactor models, value premium, arbitrage|
|Subjects:||Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > APPLIED ECONOMICS (140200) > Financial Economics (140207)|
|Divisions:||Current > QUT Faculties and Divisions > QUT Business School|
|Copyright Owner:||Copyright 2001 (please consult author)|
|Deposited On:||11 Nov 2004 00:00|
|Last Modified:||02 Feb 2012 09:44|
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