ABSTRACT:
This study compares the performance of value and growth portfolios in Bursa Malaysia from January 2011 to January 2021 using the book-to-price (B-P) and the earning-to-price (E-P) as valuation proxies. It also compares the performance within small and large market capitalisations. The results affirmed that the growth portfolios beat the value portfolios regarding return across the entire sample. When market capitalisation is considered, the results confirm that the growth effect is still present in the small-cap portfolios. However, the growth effect of large-cap portfolios varies depending on how they are constructed. The value effect is presented in portfolios created by applying the E-P; however, when the portfolio is constructed using the B-P, the value impact is replaced by the growth effect. Furthermore, except for the high E-P portfolio, the size effect is presented in all portfolios from the same category in Bursa Malaysia. As a result, whether the market is subject to the value or growth effect, the results will vary based on the ratios utilised when constructing the portfolio. Furthermore, the results indicate that the best diversification method for an investor in Bursa Malaysia is to establish a portfolio that contains both value and growth portfolios in various market capitalisations. The results of this research might be attributed to the research period, as Bursa Malaysia was affected by the market recovery from the 2007/2008 financial crisis and economic shocks during the beginning periods of the COVID-19 epidemic. Also, some Asian markets suffered disruptions in 2015 and 2016 as a result of the Chinese market's volatility.
KEYWORDS:
Growth Portfolio, Value Portfolio, Bursa Malaysia, Portfolio, Size Effect.
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