The common factors that affect cross-sectional variation in stock returns of Malaysian public listed companies / Nuryani Abdul Kelam

The purpose of this study is to investigate the common factors that affect cross-sectional variation in stock returns of Malaysian public listed companies. The scope of the study consists of four factors which are firm size, market-to-book, trading volume and dividend yield. The study covers for 3 years, 2007 until 2009. All the data are collected from data stream. In addition, the study selects 100 companies by using simple random technique. The data has been collected from various sectors such as consumers’ products, plantation, industrial product, trading and services, construction and property sectors. The stock returns as been chosen as dependent variable while firm size, market-to-book, trading volume and dividend yield have been chosen as explanatory variables. Based on the findings, it is found that the firm size is significant at 10%. While market-to-book also is significant to the stock returns at 10%. It is same to goes with trading volume and dividend yield that are significant at 10% level. In short, it is found that the firm size, market-to-book, trading volume and dividend yield are significant towards stock returns for the period of 2007 until 2009