Do Firm Size and Value Affect Shareholder Returns in Malaysia

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.