Capital Markets Review Vol. 26, No. 2, pp. 1-20 (2018)
Sri Noor Aishah Binti Mohd Salleh1 & Karren Lee-Hwei Khaw2
1School of Economics, Finance and Banking, Universiti Utara Malaysia,
2Faculty of Business and Accountancy, University of Malaya, Malaysia.
Abstract: Convertible debt that shares the characteristics of debt and equity is perceived to be riskier than straight debt, therefore the issuance announcement tends to lead to adverse market reaction. In this study we show that convertible debt issuance announcement is also associated with negative abnormal returns with evidence from the Malaysia capital market. We argue that the substantially smaller and illiquid convertible debt market do not affect the consistency of the findings. However, the main purpose of this study is to examine the effect of frequency and sequence of convertible debt issuance announcement on the issuers stock return. We find that both the frequency and sequence of issuance significantly affect the announcement returns. In the longer event window, we observe negative abnormal returns for the infrequent issuers. While frequent issuers report positive abnormal returns. Looking at the sequence of issuance, the first issues of convertible debt lead to negative market reaction, but as the information gap decreases, subsequent issues of convertible debt lead to insignificant abnormal returns. We argue that the findings of this study are mainly related to the theories of asymmetric information and sequential financing. In brief, this study contributes to the convertible debt literature by highlighting the need to incorporate the effect of frequency and sequence in examining the announcement effect of securities.Furthermore, this study adds that the additional features of convertible debt such as redeemable, non-redeemable, secured and unsecured do have significant impact on the announcement returns.
Capital Markets Review Vol. 26, No. 2, pp. 21-31 (2018)
Subashini Maniam1 & Chin Lee1
1Faculty of Economics and Management, Universiti Putra Malaysia,Malaysia.
Abstract: The stock market liberalization policies announcement dates shows that the liberalization policies were implemented on specific sectors in Malaysia instead of the whole stock market in the country. Therefore, this paper analyses the impact of stock market liberalization on sectoral stock market return in Malaysia, in particular finance sector and service sector. Dynamic Fixed Effect (DFE) method was used to study the stock market liberalization impact on the stock market return while controlling the effects of stock market characteristics, which are stock market size, volatility and liquidity. The results indicate that, in the long run stock market liberalization has positive effect on stock market return only for the service sector, but no significant impact on finance sector’s stock return.
Capital Markets Review Vol. 26, No. 2, pp. 32-52 (2018)
Jasman Tuyon1 & Zamri Ahmad2
1Faculty of Business and Management, Universiti Teknologi MARA, Malaysia.
2School of Management, Universiti Sains Malaysia, Malaysia.
Abstract: This paper offers an alternative perspective on determinants of equity risk using behavioural asset pricing ideology in a factor and style investing framework. First, a quasi-rational multifactor asset pricing determinants model with fundamental and behavioural risk factors is introduced. Then, the risk and return analysis is performed in a factors and style investing framework. The empirical tests are performed on a sample of 238 Malaysian firm stock returns and multifactor risk proxies with monthly frequency using the panel regression method. The baseline and robustness analyses provide evidence to support the dynamic of risk and returns relationships due to quasi-rational risk determinants and given different characteristics of sub-samples analysed. As a potential industry application, this research suggested the behavioural style quadrant as a diversification strategy. In specific, the risk and return analysis is organized in the multi-style sub-samples (i.e. firm, industry, and market states) to examine equity groups that are resilient on the influence of behavioural risks. Briefly, this paper offers valuable applications in investment practice on how to measure and manage behavioural risks.
Capital Markets Review Vol. 26, No. 2, pp. 53-69 (2018)
Pheng Bian Ong1, Mohamed Hisham Hanifa1 & Mansor Mohd Isa1
1Faculty of Business and Accountancy, University of Malaya, Malaysia.
Abstract: Hundreds of empirical studies have documented the presence of stock market anomalies that allow investors to possibly take advantage of the inefficiency of the stock. The most common anomalies pointed out by the previous studies are the presence of size and value anomalies. Using Fama and French’s three-factor asset pricing model, we make an initial attempt to investigate the presence of these anomalies for firms listed on Bursa Malaysia. Our sample consists of 500 public listed stocks from July 2005 to December 2015. We employ multiple regression, which has resulted in three major findings. Firstly, our results provide stronger support for Fama and French’s three-factor model as compared to the single factor. Secondly, small firms generate extra returns as compensation for the size risk premium, and, finally, high value firms yield a better return, which is contributed by the additional value risk premium as a result of increased distress.
Updated on 29 January 2019 by S.F. Chuah