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The risk premium of the four factor asset pricing model in the Hong Kong Stock Market
Keith Lam; Frank K. Li
2006
Conference Namethe Journal of Banking and Finance 30th Anniversary Conference (Beijing, China)
Source PublicationProceedings of the Journal of Banking and Finance 30th Anniversary Conference (Beijing, China)
Conference Date2006.06.06
Conference PlaceBeijing, China
Abstract

The objective of this paper is to investigate the four-factor model’s risk premiums in the Hong Kong stock market. We find that, except for the book-to-market factor, the magnitudes of market, size, and momentum premiums are close to each other. The pattern of the book-to-market premium is similar to those of the size factor. Moreover, we also find that the four factors’ premiums and standard deviations are all higher than the US market. All four factor premiums are subject to the influence of seasonality. Except for the market premium, the other three factors are subject to up- and down-market conditions.

DOIhttps://doi.org/10.1080/09603100701720443
Language英语
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Document TypeConference paper
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
AffiliationUniversity of Macau
First Author AffilicationUniversity of Macau
Recommended Citation
GB/T 7714
Keith Lam,Frank K. Li. The risk premium of the four factor asset pricing model in the Hong Kong Stock Market[C],2006.
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