The influence of multifactor risk on Malaysian financial firms stock returns / Dayang Darwisa Datu Wasladi

This research modeled and tested the multifactor risk determinants for financial firm stocks in Malaysia. The stock pricing model is conceptualized based on a combination of CAPM and APT theoretical perspectives. The model is tested using panel regression methods in the full sample of finance stocks in Malaysia with daily data started from 2011 to 2015. The research considers the size effects and the day-of-the-week effect in the tests. The result revealed that, only interest rate and market risk variables are consistently significant in explaining the financial stock returns which are in line with the theory and evidence. While, the other considered macroeconomic variables are statistically unsupported despite theoretically justified. These findings provide useful references to investor and fund manager on risk and return relationships of finance stocks in Malaysia.