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A Quest for Small-Firm Effect: Evidence from KLSE Second Board

Abdul Razak Abdul Hadi (), Hadi Jaafar Pyeman and Wan Mansor Mahmood

The IUP Journal of Financial Economics, 2011, vol. IX, issue 3, 28-39

Abstract: A myriad of empirical studies conducted in developed markets indicate the existence of small-firm effect. This study is undertaken to investigate the presence of firm effect in emerging markets such as Malaysia Bourse (formerly known as Kuala Lumpur Stock Exchange). Applying the method used by Jensen et al. (1998), the study reveals an opposite result compared to that of the studies on developed markets. There is no statistically significant size premium on the stocks listed in the Kuala Lumpur Second Board. During the study period from 1990 to 2003, the large-cap portfolios consistently outperformed the small-cap portfolios, irrespective of the weightage used to form the two portfolios.

Date: 2011
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