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Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong

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Recent empirical evidence indicates that size and book-to-market ratios explain adequately a large part of average stock returns. This paper examines the association of a number of fundamental variables with the cross section of stock returns in the Hong Kong Stock Exchange. The results suggest that, during the 1990s, the small-firm effect has actually gone into reverse and that size and book-to-market equity have a statistically significant relationship with average returns. Beta has little or no role as an explanatory variable.
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Document Type: Research Article

Affiliations: 1: Department of Economics & Finance, University of Durham, UK 2: Department of Accounting & Finance, Athens University of Economics & Business, Patission 76, 10434, Athens, Greece, and Department of Economics & Finance, University of Durham, UK

Publication date: April 1, 2003

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