The Impact of Financial Distress Risk to Malaysian Stock Return

If financial distress risk can be accurately predicted, the stock price of high distress risk companies should be discounted so as to enable investors to earn higher expected returns. Investors which have invested in high risk companies should be rewarded with high returns as the compensation in bar...

وصف كامل

محفوظ في:
التفاصيل البيبلوغرافية
المؤلف الرئيسي: Muhammad Noor Darwis, Nordin
التنسيق: أطروحة
اللغة:eng
eng
منشور في: 2011
الموضوعات:
الوصول للمادة أونلاين:https://etd.uum.edu.my/2598/1/Muhammad_Noor_Darwis_Nordin.pdf
https://etd.uum.edu.my/2598/2/1.Muhammad_Noor_Darwis_Nordin.pdf
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spelling my-uum-etd.25982016-04-19T03:27:09Z The Impact of Financial Distress Risk to Malaysian Stock Return 2011 Muhammad Noor Darwis, Nordin Md. Yusof, Mohd. 'Atef College of Business (COB) College of Business HG Finance If financial distress risk can be accurately predicted, the stock price of high distress risk companies should be discounted so as to enable investors to earn higher expected returns. Investors which have invested in high risk companies should be rewarded with high returns as the compensation in baring the risk due to the theory of risk and return trade off. This study set out a direct approach to examining the risk-return relationship of Malaysian companies. By applying Z-Score bankruptcy prediction model as the proxy of distress risk and the realized stock returns of the companies, this study found that the distress risk is not statistically significant enough to explain the expected stock returns. This result is contradicted with past research such as Shumway (1996) and Griffin and Lemmon (2002) which is firm with distress risk earn higher positive returns. However the size and book to market equity have shown significant relationship in explaining the stock returns of the companies. The theoretical expectations of the size and book to market equity effect on stock returns are supported in the Malaysian companies. These results are consistent with by Chan and Chen (1991), Fama and French (1992, 1995), Dichev (1998), Chen and Zhang (1998) and Griffin and Lemmon (2002) which found that size and book to market equity can be used in explaining stock returns. 2011 Thesis https://etd.uum.edu.my/2598/ https://etd.uum.edu.my/2598/1/Muhammad_Noor_Darwis_Nordin.pdf application/pdf eng validuser https://etd.uum.edu.my/2598/2/1.Muhammad_Noor_Darwis_Nordin.pdf application/pdf eng public masters masters Universiti Utara Malaysia
institution Universiti Utara Malaysia
collection UUM ETD
language eng
eng
advisor Md. Yusof, Mohd. 'Atef
topic HG Finance
spellingShingle HG Finance
Muhammad Noor Darwis, Nordin
The Impact of Financial Distress Risk to Malaysian Stock Return
description If financial distress risk can be accurately predicted, the stock price of high distress risk companies should be discounted so as to enable investors to earn higher expected returns. Investors which have invested in high risk companies should be rewarded with high returns as the compensation in baring the risk due to the theory of risk and return trade off. This study set out a direct approach to examining the risk-return relationship of Malaysian companies. By applying Z-Score bankruptcy prediction model as the proxy of distress risk and the realized stock returns of the companies, this study found that the distress risk is not statistically significant enough to explain the expected stock returns. This result is contradicted with past research such as Shumway (1996) and Griffin and Lemmon (2002) which is firm with distress risk earn higher positive returns. However the size and book to market equity have shown significant relationship in explaining the stock returns of the companies. The theoretical expectations of the size and book to market equity effect on stock returns are supported in the Malaysian companies. These results are consistent with by Chan and Chen (1991), Fama and French (1992, 1995), Dichev (1998), Chen and Zhang (1998) and Griffin and Lemmon (2002) which found that size and book to market equity can be used in explaining stock returns.
format Thesis
qualification_name masters
qualification_level Master's degree
author Muhammad Noor Darwis, Nordin
author_facet Muhammad Noor Darwis, Nordin
author_sort Muhammad Noor Darwis, Nordin
title The Impact of Financial Distress Risk to Malaysian Stock Return
title_short The Impact of Financial Distress Risk to Malaysian Stock Return
title_full The Impact of Financial Distress Risk to Malaysian Stock Return
title_fullStr The Impact of Financial Distress Risk to Malaysian Stock Return
title_full_unstemmed The Impact of Financial Distress Risk to Malaysian Stock Return
title_sort impact of financial distress risk to malaysian stock return
granting_institution Universiti Utara Malaysia
granting_department College of Business (COB)
publishDate 2011
url https://etd.uum.edu.my/2598/1/Muhammad_Noor_Darwis_Nordin.pdf
https://etd.uum.edu.my/2598/2/1.Muhammad_Noor_Darwis_Nordin.pdf
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