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

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

doi:10.1504/ijbaaf.2016.079164

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

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

Authors

Professor Muhammed Ebrahim m.s.ebrahim@durham.ac.uk
Professor

R. Hudson

A. Iqbal

E. Shah

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