Stock returns and beta,firms size,E/P,CF/P,book-to-market,and sales growth: evidence from Singapore and Malaysia |
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| Institution: | 1. Department of Communication Engineering, Shenzhen University, China;2. Department of Electrical and Electronic Engineering, The University of Hong Kong, Hong Kong;1. School of Business, Macau University of Science and Technology, Macau, China;2. School of Finance, Shandong University of Finance and Economics, Shandong, China;3. Faculty of Business Administration, University of Macau, Macau, China;1. Santa Clara University, 500 El Camino Real, 95053 Santa Clara, CA, USA;2. CREST (ENSAE), 3, Avenue Pierre Larousse, 92245, Malakoff Cedex, France;3. University of Cambridge, Trumpington Street, Cambridge CB2 1AG, United Kingdom |
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| Abstract: | Using data from Singapore and Malaysia for the period 1988–1996, this paper examines the relationship between stock returns and beta, size, the earnings-to-price ratio, the cash flow-to-price ratio, the book-to-market equity ratio, and sales growth (SG). We find the presence of anomalies in these emerging markets. There is a conditional relationship between beta and stock returns for both countries. During months with positive market excess returns, there is a significant positive relationship. We also find a negative relationship between beta and stock returns during months with negative market excess returns. We document the existence of a negative relationship between stock returns and size for both countries. For Singapore, we also document a negative relationship between returns and SG. For Malaysia, we find a positive relationship between returns and the E/P ratio. These relationships are only significant in non-January months. |
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