CAPM anomalies and the pricing of equity: evidence from the Hong Kong market

被引：18
|
作者：
Ho, YW
Strange, R
Piesse, J
机构：
[1] City Univ Hong Kong, Kowloon, Hong Kong, Peoples R China
[2] Kings Coll London, London SE1 8WA, England
[3] Univ London Birkbeck Coll, London WC1E 7HX, England
来源：
APPLIED ECONOMICS | 2000年 / 32卷 / 12期
关键词：
D O I：
10.1080/000368400419014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using a sample of equity stocks traded on the Hong Kong stock market, this study examines empirically the independent and joint roles of the more commonly hypothesized variables in explaining cross-sectional variation in average returns over the period from January 1980 to December 1994. Evidence indicates that beta, book leverage, earnings-price ratio and dividend yield are not priced, whereas significant book-to-market equity, market leverage (absorbed by book-to-market equity), size, and share price effects are observed. The findings should prove valuable in portfolio management and corporate financial decisions.
引用
收藏
页码：1629 / 1636
页数：8
相关论文
共 50 条
  • [1] Liquidity and asset pricing: Evidence from the Hong Kong stock market
    Lam, Keith S. K.
    Tam, Lewis H. K.
    [J]. JOURNAL OF BANKING & FINANCE, 2011, 35 (09) : 2217 - 2230
  • [2] The determinants of short selling: evidence from the Hong Kong equity market
    McKenzie, Michael
    Henry, Olan T.
    [J]. ACCOUNTING AND FINANCE, 2012, 52 : 183 - 216
  • [3] EMPIRICAL PRICING KERNELS: EVIDENCE FROM THE HONG KONG STOCK MARKET
    Wu, Xinyu
    Ren, Senchun
    Zhou, Hailin
    [J]. ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH, 2017, 51 (04): : 263 - 278
  • [4] Shortability and asset pricing model: Evidence from the Hong Kong stock market
    Bai, Min
    Li, Xiao-Ming
    Qin, Yafeng
    [J]. JOURNAL OF BANKING & FINANCE, 2017, 85 : 15 - 29
  • [5] Investor sentiment and IPO pricing during pre-market and aftermarket periods: Evidence from Hong Kong
    Jiang, Li
    Li, Gao
    [J]. PACIFIC-BASIN FINANCE JOURNAL, 2013, 23 : 65 - 82
  • [6] THE BENCHMARK BETA, CAPM, AND PRICING ANOMALIES
    EUN, CS
    [J]. OXFORD ECONOMIC PAPERS-NEW SERIES, 1994, 46 (02): : 330 - 343
  • [7] Study on housing market efficiency: Evidence from Hong Kong
    Xu, Jiana
    Tsui, W. S.
    Leung, Andrew Y. T.
    [J]. PROCEEDINGS OF 2007 INTERNATIONAL CONFERENCE ON CONSTRUCTION & REAL ESTATE MANAGEMENT, VOLS 1 AND 2, 2007, : 1283 - 1287
  • [8] Information effects of dividends: Evidence from the Hong Kong market
    Cheng L.T.W.
    Fung H.-G.
    Leung T.Y.
    [J]. Review of Quantitative Finance and Accounting, 2007, 28 (1) : 23 - 54
  • [9] Is there momentum in equity anomalies? Evidence from the Polish emerging market
    Zaremba, Adam
    Szyszka, Adam
    [J]. RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2016, 38 : 546 - 564
  • [10] Pricing options in Hong Kong market based on neural networks
    Liang, Xun
    Zhang, Haisheng
    Yang, Jian
    [J]. NEURAL INFORMATION PROCESSING, PT 3, PROCEEDINGS, 2006, 4234 : 410 - 419
12345