Explanatory power of financial ratios on excess returns in the Malaysian stock market
This report aims to investigate if any financial ratios have explanatory power on excess returns of stocks in the Malaysian stock market. Year dummies and the interaction terms between the year and each financial ratio are added into the model to consider for t...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2017
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/69770 |
| _version_ | 1824456051052773376 |
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| author | Choong, Jia Wen Toh, Jin Leng Wang, Winnie Kai Li |
| author2 | Wang Wei Siang |
| author_facet | Wang Wei Siang Choong, Jia Wen Toh, Jin Leng Wang, Winnie Kai Li |
| author_sort | Choong, Jia Wen |
| collection | NTU |
| description | This report aims to investigate if any financial ratios have explanatory power on excess returns of stocks in the Malaysian stock market. Year dummies and the interaction terms between the year and each financial ratio are added into the model to consider for time effects on excess return. The study derived panel data from Bursa Malaysia between 2001 and 2015 and the fixed effects regression method is applied in our analysis. The results show that debt ratio has been found to be the only significant variable that can explain excess return in the Malaysian stock market, and particularly, there is a positive relationship between the two. In addition, year dummy variables 2009, 2010, 2013, 2014 and 2015 are found to be positively significant in explaining excess returns, while 2005 is negatively significant in explaining excess returns. Therefore, the results provide empirical support for the value investing strategy and value investors may leverage on these insights to earn better than market returns. At the same time, this arbitrage action will allow Bursa Malaysia to become more efficient in the long-run. |
| first_indexed | 2025-02-19T03:47:57Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/69770 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2025-02-19T03:47:57Z |
| publishDate | 2017 |
| record_format | dspace |
| spelling | ntu-10356/697702019-12-10T14:56:20Z Explanatory power of financial ratios on excess returns in the Malaysian stock market Choong, Jia Wen Toh, Jin Leng Wang, Winnie Kai Li Wang Wei Siang School of Humanities and Social Sciences DRNTU::Social sciences This report aims to investigate if any financial ratios have explanatory power on excess returns of stocks in the Malaysian stock market. Year dummies and the interaction terms between the year and each financial ratio are added into the model to consider for time effects on excess return. The study derived panel data from Bursa Malaysia between 2001 and 2015 and the fixed effects regression method is applied in our analysis. The results show that debt ratio has been found to be the only significant variable that can explain excess return in the Malaysian stock market, and particularly, there is a positive relationship between the two. In addition, year dummy variables 2009, 2010, 2013, 2014 and 2015 are found to be positively significant in explaining excess returns, while 2005 is negatively significant in explaining excess returns. Therefore, the results provide empirical support for the value investing strategy and value investors may leverage on these insights to earn better than market returns. At the same time, this arbitrage action will allow Bursa Malaysia to become more efficient in the long-run. Bachelor of Arts 2017-03-25T07:07:19Z 2017-03-25T07:07:19Z 2017 Final Year Project (FYP) http://hdl.handle.net/10356/69770 en Nanyang Technological University 38 p. application/pdf |
| spellingShingle | DRNTU::Social sciences Choong, Jia Wen Toh, Jin Leng Wang, Winnie Kai Li Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title | Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title_full | Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title_fullStr | Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title_full_unstemmed | Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title_short | Explanatory power of financial ratios on excess returns in the Malaysian stock market |
| title_sort | explanatory power of financial ratios on excess returns in the malaysian stock market |
| topic | DRNTU::Social sciences |
| url | http://hdl.handle.net/10356/69770 |
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