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...

The rational expectations hypothesis states that when people are expecting things to happen, using the available information, the predicted outcomes usually occur. This study utilized survey data provided by the Business Expectations Survey of Limited Companies to test whether forecasts of the...

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 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...