Citation

Tay, Lee Ying and Lai, Ming Ming and Rasiah, Devinaga (2020) Freedom indices and capital asset pricing model: Malaysian evidence influence policy? International Journal of Management, Finance and Accounting, 1 (1). pp. 1-21. ISSN 2735-1009

Text 1 (1).pdf - Published Version Restricted to Repository staff only Download (721kB)

Abstract

Human rights and fundamental freedoms such as economic, political, and press freedoms vary widely fromcountry to country. It creates opportunity and risk in investment decisions. Thus, this study is carried out to examine if the explanatory power of the model for capital asset pricing could be improved when these human rights movement indices are includedin the model. The sample for this study comprises of 495 stocks listed in Bursa Malaysia, covering the sampling period from 2003 to 2013. The model applied in this study employed the pooled ordinary least square regression estimation. In addition, the robustness of the model is tested by using firm size as a controlled variable. The findings show that market beta as well as the economic and press freedom indices could explain the cross-sectional stock returns of the Malaysian stock market. By controlling the firm size, it adds marginally to the explanation of the extended CAP model which incorporated economic, political, and press freedom indices.

Item Type:	Article
Uncontrolled Keywords:	Capital Asset Pricing, stock market, returns
Subjects:	H Social Sciences > HB Economic theory. Demography > HB501 Capital. Capitalism
Divisions:	Faculty of Business (FOB)
Depositing User:	Ms Suzilawati Abu Samah
Date Deposited:	23 Jul 2021 07:36
Last Modified:	23 Jul 2021 07:36
URII:	http://shdl.mmu.edu.my/id/eprint/8082

Downloads

Edit (login required)