The main objective of this research is to test whether the style factors employed by the Fama and French (1993) three-factor model adequately explain the performance of four conventional sub-portfolios sorted by book value-to-market value (BVTMV) and their Shariah-compliant counterparts in Bursa Malaysia over the examination period from 1 December 2005 to 28 February 2018. To ensure the regression results of this research are unbiased estimations, tests for unit root, heteroskedasticity and autocorrelation bias were conducted on the regression variables. The regression test was conducted by regressing the monthly excess returns of the conventional and Shariah sub-portfolios on the monthly returns of the three factors of Fama and French (1993), which are the market risk premium, the small-cap risk premium, and the value risk premium. The results of this research revealed that the Fama and French (1993) three-factor model can significantly explain the performance of the four conventional sub-portfolios sorted by BVTMV and the four Shariah-compliant sub-portfolios sorted by BVTMV in Bursa Malaysia.

This study arises from the rapid global growth of the Shariah-compliant financial services industry and the evident paucity of research on the direct comparison between a conventional portfolio and a Shariah-compliant portfolio. Therefore, this study undertakes to investigate the differences in the performance between a hypothetical conventional portfolio and a hypothetical Shariah-compliant portfolio on Bursa Malaysia over the 1 December 2005-28 February 2018 examination period. The examination period is divided into: (1) the overall period (1 December 2005-28 February 2018); (2) the bullish 1 period (1 December 2005-30 June 2007); (3) the crisis period (1 July 2007-28 February 2009); (4) the bullish 2 period (1 March 2009-30 June 2014); and (5) the consolidation period (1 July 2014-28 February 2018). The risk and return characteristics, the risk-adjusted return measures, the return correlation measure, and the sample paired t-test are the performance evaluations employed in this research. The results revealed that the performance of the conventional and Shariah-compliant portfolios was broadly similar in different economic regimes.

This research examines whether the return of the Shariah-compliant portfolio (SCP) relative to the non-Shariah-compliant portfolio (NSCP) is subject to any calendar month effect on Bursa Malaysia over 12 years. The non-Shariah-compliant stocks were selected rather than conventional stocks to ensure that all stocks were completely independent since the Shariah-compliant stocks are part of the conventional stocks. A new portfolio (SCP–NSCP) that represented the monthly difference return between the SCP and NSCP was constructed, and by employing the robust standard errors regression, the results indicated that, after applying the Capital Asset Pricing Model (CAPM) with dummy variables, only in June, the return of SCP significantly outperform the return of NSCP. However, the existence of this calendar month anomalies between the SCP and NSCP will raise questions about the efficiency of Bursa Malaysia.

The main objective of this research is to construct hypothetical value and growth portfolios and compare their performance on Bursa Malaysia over the examination period from 1 January 2006 to 1 January 2020 (168 months). This research also analyses whether there are differences in the performance between value and growth stocks in different sizes of the issuing company. Risk and return characteristics, risk-adjusted return, and the sample paired t-test are examples of statistical tests used in this research. The results emphasised that the average value premium over the examination period was 1%, and hence, the performance of growth and value stocks was broadly similar. When the capitalisation levels of issuing firms are taken into account, the results during the entire examination and the global financial crisis affirmed that the size effect exists only in the value category, while in the growth category, it does not exist. On the other hand, the value effect exists in the large-cap and small-cap categories. Besides, the value effect in small-cap stocks is higher compared to large-cap stocks. Finally, the results also demonstrate that value stocks have a significantly higher mean return than growth stocks at a level of 0.05, despite the firm's size.