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

Lam, Keith; Li, Frank - In: Applied financial economics 18 (2008) 20, pp. 1667

Persistent link: https://www.econbiz.de/10008147092

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

Lam, Keith; Li, Frank - In: Applied financial economics 18 (2008) 19-21, pp. 1667-1680

Persistent link: https://www.econbiz.de/10008167929

On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market

Lam, Keith; Li, Frank; So, Simon - In: Review of Quantitative Finance and Accounting 35 (2010) 1, pp. 89-111

Persistent link: https://www.econbiz.de/10008526436

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

Lam, Keith; Li, Frank - In: Applied Financial Economics 18 (2008) 20, pp. 1667-1680

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...

Persistent link: https://www.econbiz.de/10005485185