Dispelling the Myth of a Value Premium: Contrary Evidence of Malaysian Crony Capitalism

Ebrahim, S.; Hudson, R.; Iqbal, A.; Shah, E.

Abstract

This paper contradicts the existence of a universal value anomaly by studying Malaysia, a country with a unique institutional setting. We investigate this counter-example to attribute the anomaly to: (i) the leverage effect of value firms; (ii) the investment pattern of growth firms; and (iii) the economic environment. We find that the value premium cannot be ascribed solely to risk as that it is time varying and dependent on the attributes of the companies. Our results illustrate that small cap value firms perform relatively well during favourable economic conditions. In contrast, large cap growth firms perform better than their counterpart (i.e., large cap value firms) in economic upturns as they are preferentially awarded projects to revive the nations growth.

Citation

Ebrahim, S., Hudson, R., Iqbal, A., & Shah, E. (2016). Dispelling the Myth of a Value Premium: Contrary Evidence of Malaysian Crony Capitalism. International Journal of Banking, Accounting and Finance, 7(1), 1-33. https://doi.org/10.1504/ijbaaf.2016.079164

• Journal Article Type: Article
• Acceptance Date: May 31, 2016
• Online Publication Date: Sep 15, 2016
• Publication Date: Sep 15, 2016
• Deposit Date: Jun 15, 2016
• Publicly Available Date: Mar 1, 2017
• Journal: International Journal of Banking, Accounting and Finance
• Print ISSN: 1755-3830
• Electronic ISSN: 1755-3849
• Publisher: Inderscience
• Peer Reviewed: Peer Reviewed
• Volume: 7
• Issue: 1
• Pages: 1-33
• DOI: https://doi.org/10.1504/ijbaaf.2016.079164
• Public URL: https://durham-repository.worktribe.com/output/1379154
• Publisher URL: http://www.inderscience.com/info/ingeneral/forthcoming.php?jcode=ijbaaf