Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

Industry Risk Factors and Stock Returns of Malaysian Oil and Gas Industry: A New Look with Mean Semi-Variance Asset Pricing Framework

This study employs a mean semi-variance asset pricing framework to examine the influence of risk factors on stock returns of oil and gas companies. This study also examines how downside risk is priced in stock performance. The time-series estimations expose that market, size, momentum, oil, gas, and...

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Bibliographic Details
Main Authors: Mohammad Enamul Hoque, Soo-Wah Low
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Mathematics
Subjects:
asset pricing
oil and gas risk factor
oil and gas industry
Malaysian stock market
mean semi-variance
Online Access:https://www.mdpi.com/2227-7390/8/10/1732

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