Factors contributing to performance and risk-taking of the Malaysian listed companies

The main objective of this thesis is to examine factors influencing risk-return of 531 non-financial Malaysian listed companies representing 4779 company-year observations from 2004 to 2012. Dynamic and static panel regressions are utilized to examine the impact of standard deviation (STD) and below...

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Main Author:	Rusmawati, Ismail
Format:	Thesis
Language:	eng eng
Published:	2016
Subjects:	HD61 Risk Management
Online Access:	https://etd.uum.edu.my/6237/7/s91894_a.pdf https://etd.uum.edu.my/6237/8/s91894_02a.pdf
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id	my-uum-etd.6237
record_format	uketd_dc
institution	Universiti Utara Malaysia
collection	UUM ETD
language	eng eng
advisor	Abdullah, Nur Adiana Hiau Taufil Mohd, Kamarul Hisham
topic	HD61 Risk Management
spellingShingle	HD61 Risk Management Rusmawati, Ismail Factors contributing to performance and risk-taking of the Malaysian listed companies
description	The main objective of this thesis is to examine factors influencing risk-return of 531 non-financial Malaysian listed companies representing 4779 company-year observations from 2004 to 2012. Dynamic and static panel regressions are utilized to examine the impact of standard deviation (STD) and below-mean semi-deviation (BMSD) together with other determinants on performance. Similar methods are used to investigate the impact of performance and other determinants on risk-taking behavior represented by STD and BMSD. Dynamic models reveal a significant positive (negative) influence of lagged (contemporaneous) corporate risk-taking on accounting-based performance. An inverse relationship of contemporaneous corporate risk-taking (RISKi) and performance (PERFit) supports Bowman's paradox where risk preference among managers is not static but varies according to company's situation. Financial slack and leverage are also found to be important determinants of performance supporting the implication stated in the behavioural and agency cost theories respectively. Static models show a significant positive relationship of RISKi,r on market-based performance which highlights the disappearance of a negative contemporaneous risk-return relationship once market-based data is applied. A negative impact of leverage on performance supports the pecking order theory which maintains that week performed company employs less amount of leverage. Dynamic models also report a significant positive (negative) effect of prior ROE on the STD (BMSD) of ROE supporting the implication stated in the housemoney (fi-aming) effect. Contemporaneous accounting performance, size, aspiration and leverage are also found to be influential determinants of risk-taking. Static models show a significant positive influence of PERFi on RISKiit which appear to challenge the Bowman's paradox.Meanwhile, the positive impact of aspiration and leverage on RISKiZt, supports threat rigidity hypothesis and agency theory respectively. Generally, this study finds that investors are psychologically biased in making investment decision and that BMSD is more appropriate in measuring risks because the Malaysians are more concerned about downside losses.
format	Thesis
qualification_name	other
author	Rusmawati, Ismail
author_facet	Rusmawati, Ismail
author_sort	Rusmawati, Ismail
title	Factors contributing to performance and risk-taking of the Malaysian listed companies
title_short	Factors contributing to performance and risk-taking of the Malaysian listed companies
title_full	Factors contributing to performance and risk-taking of the Malaysian listed companies
title_fullStr	Factors contributing to performance and risk-taking of the Malaysian listed companies
title_full_unstemmed	Factors contributing to performance and risk-taking of the Malaysian listed companies
title_sort	factors contributing to performance and risk-taking of the malaysian listed companies
granting_institution	Universiti Utara Malaysia
granting_department	School of Economics, Finance & Banking
publishDate	2016
url	https://etd.uum.edu.my/6237/7/s91894_a.pdf https://etd.uum.edu.my/6237/8/s91894_02a.pdf
_version_	1747828042860855296
spelling	my-uum-etd.62372021-04-19T06:44:21Z Factors contributing to performance and risk-taking of the Malaysian listed companies 2016 Rusmawati, Ismail Abdullah, Nur Adiana Hiau Taufil Mohd, Kamarul Hisham School of Economics, Finance & Banking School of Economics, Finance and Banking HD61 Risk Management The main objective of this thesis is to examine factors influencing risk-return of 531 non-financial Malaysian listed companies representing 4779 company-year observations from 2004 to 2012. Dynamic and static panel regressions are utilized to examine the impact of standard deviation (STD) and below-mean semi-deviation (BMSD) together with other determinants on performance. Similar methods are used to investigate the impact of performance and other determinants on risk-taking behavior represented by STD and BMSD. Dynamic models reveal a significant positive (negative) influence of lagged (contemporaneous) corporate risk-taking on accounting-based performance. An inverse relationship of contemporaneous corporate risk-taking (RISKi) and performance (PERFit) supports Bowman's paradox where risk preference among managers is not static but varies according to company's situation. Financial slack and leverage are also found to be important determinants of performance supporting the implication stated in the behavioural and agency cost theories respectively. Static models show a significant positive relationship of RISKi,r on market-based performance which highlights the disappearance of a negative contemporaneous risk-return relationship once market-based data is applied. A negative impact of leverage on performance supports the pecking order theory which maintains that week performed company employs less amount of leverage. Dynamic models also report a significant positive (negative) effect of prior ROE on the STD (BMSD) of ROE supporting the implication stated in the housemoney (fi-aming) effect. Contemporaneous accounting performance, size, aspiration and leverage are also found to be influential determinants of risk-taking. Static models show a significant positive influence of PERFi on RISKiit which appear to challenge the Bowman's paradox.Meanwhile, the positive impact of aspiration and leverage on RISKiZt, supports threat rigidity hypothesis and agency theory respectively. Generally, this study finds that investors are psychologically biased in making investment decision and that BMSD is more appropriate in measuring risks because the Malaysians are more concerned about downside losses. 2016 Thesis https://etd.uum.edu.my/6237/ https://etd.uum.edu.my/6237/7/s91894_a.pdf text eng public https://etd.uum.edu.my/6237/8/s91894_02a.pdf text eng public other Universiti Utara Malaysia Aaker, D. A., & Jacobson, R. (1987). The role of risk in explaining differences in profitability. The Academy of Management Journal, 30(2), 277-296. Abbrose, B. W., & Linneman, P. (2001). 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