The risk premiums of the four-factor asset pricing model in the Hong Kong stock market

Authors: Lam, Keith; Li, Frank

Source: Applied Financial Economics, Volume 18, Number 20, November 2008 , pp. 1667-1680(14)

Publisher: Routledge, part of the Taylor & Francis Group

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Abstract:

The objective of this article is to investigate the risk premiums of the four-factor model in the Hong Kong stock market. We find that the magnitudes of the market, size and momentum premiums are similar, and that the pattern of the book-to-market premium is similar to the pattern of the size factor. We also find that the premiums and SDs of the four factors are all higher in the Hong Kong market than in the US market. All four-factor premiums are subject to the influence of seasonality, and all except for the market premium are subject to up- and down-market conditions.

Document Type: Research article

DOI: http://dx.doi.org/10.1080/09603100701720443

Affiliations: 1: Department of Finance and Business Economics, University of Macau, Macao SAR, China

Publication date: 2008-11-01

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