Value investing in the Malaysian Stock Market

Abstract

This purpose of this paper is to test the value investing method as proposed by Michael O’Higgins (2000) as one investment strategy applied specifically to the Malaysian market. The investment portfolio incorporates 30 companies of FTSE Bursa Malaysia Index from 2009 through 2013. The results suggest that O’Higgins strategy portfolio succeed to beat FBM KLCI in the holding period of 2009 – 2012 but underperformed the market in the holding period of 2012 – 2013. The study also discovers that the portfolio of 5 stocks consistently outperformed the portfolio of 10 stocks. Furthermore, the findings demonstrate that the longer the holding period of stocks, the higher the cumulative return of the portfolio. Overall, this research finds evidence that value investing is applicable in Malaysian stock market.