This study examines pricing implications of size, value, illiquidity and momentum effects in Malaysian 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...

Purpose – The purpose of this paper is to examine the effects of the current global crisis on the integration and co-movements of selected stock index futures markets. Design/methodology/approach – Time series techniques of cointegration and weekly data covering the period from January 2001...

This paper examines whether a simple fundamental analysis strategy based on historical accounting information can predict stock returns. Construction and material sector are chosen in this study. Five common stock return predictor used in this study are price earning (PE), return of equity...