The award was presented by the SC's Director of Market, Policy and Development Dr Nik Ramlah Nik Mahmood.

The winning entry is entitled “A Closer Look at the Size and Value Premium in Emerging Markets: Evidence from the Kuala Lumpur Stock Exchange”.

Based on the 1991 to 1999 data obtained from Bursa Malaysia (formerly known as Kuala Lumpur Stock Exchange), Dr Madhu concluded that size and value premia do exist in emerging markets such as Malaysia.

His paper showed that evaluation of the two variables, size and book-to-market equity, generated a 17.7 per cent return per annum each as compared to the market 1.9 per cent return per annum. This means that small and high book-to-market firms generate superior returns than big and low book-to-market companies for listed equities on Bursa Malaysia.

“This model offers an alternative to the commonly used Capital Asset Pricing Model (CAPM) which is used by most fund managers and investors in the evaluation of portfolio performance.

Our findings clearly document evidence of a size and book-to-market equity effect and suggest that size and value premium are a compensation for risk that is not captured by CAPM.”

This award-winning paper which was published in the Asian Economic Journal December 2002 edition is now available at the SC website here for further viewing by the public.

The CMA, which was first introduced in 1995, is meant to encourage and generate quality research amongst students and academicians in Malaysia on capital market. The award complements SC's overall objective of promoting innovative ideas and practice for the overall development of the Malaysian capital market. The award was opened to international participants last year.

The SC did not award any winner under the post-graduate category for 2003.

The submission for the 2004 CMA is closed. More information on the CMA is available on the SC website here.