Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: Evidence from Singapore and Malaysia
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. © 2002 Elsevier Science B.V. All rights reserved.
Journal of Multinational Financial Management
Lau, S., Lee, C., & McInish, T. (2002). Stock returns and beta, firms size, E/P, CF/P, book-to-market, and sales growth: Evidence from Singapore and Malaysia. Journal of Multinational Financial Management, 12 (3), 207-222. https://doi.org/10.1016/S1042-444X(01)00051-2