This study examines the presence of day-of-the-week effect in returns on four indices: Kuala Lumpur Composite Index (KLCI), Mid70 Index, Top100 Index and EMAS Index of Bursa Malaysia. It essentially investigates the evidence for the premise that rational investors and perfect markets exist. The...

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...

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...

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...