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Comparing the Market Risk Premia Forecasts in JSE and NYSE Equity Markets

Oikonomikou, Leoni Eleni - 2016

paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with …

Persistent link: https://www.econbiz.de/10012995704

Why do stock prices drop by less than the value of the dividend? : Evidence from a country without taxes

Frank, Murray Z. - 1997

Persistent link: https://www.econbiz.de/10000962219

Valuing Pacific-Rim stock markets : Japan, Australia, and Hong Kong

Freris, Andrew F.; Blake, David - In: Rising Asian capital markets : empirical studies, (pp. 23-37). 1993

Persistent link: https://www.econbiz.de/10001331659

Evidence in support of the CAPM from three South East Asian stock markets

Clare, Andrew; Priestley, Richard - In: Ekonomia : the journal of the Cyprus Economic Society 2 (1998) 2, pp. 145-154

Persistent link: https://www.econbiz.de/10001353590

An assessment of risk and return : some empirical findings from the Hong Kong stock exchange

Cheung, Stephen Y. L. - In: Applied financial economics 2 (1992) 2, pp. 105-114

Persistent link: https://www.econbiz.de/10001136541

Covariance risk, consumption risk, and international stock market returns

Lee, Wai - In: The quarterly review of economics and finance : journal … 37 (1997) 2, pp. 491-510

Persistent link: https://www.econbiz.de/10001226132

Endogeneity bias in beta estimation : Thailand and Hong Kong

Woo, Chi-keung - In: Pacific-Basin finance journal 2 (1994) 4, pp. 453-461

Persistent link: https://www.econbiz.de/10001178923

Chasing momentum : new evidence from Hong Kong investors on the adaptive markets hypothesis

Pirie, Scott; Chan, Ronald King To - In: Qualitative research in financial markets 7 (2015) 3, pp. 218-229

Persistent link: https://www.econbiz.de/10011416680

Demand Shock, Speculative Beta, and Asset Prices : Evidence from the Shanghai-Hong Kong Stock Connect Program

Liu, Clark - 2020

Upon the announcement of the Shanghai-Hong Kong Stock Connect program, connected stocks in the Shanghai Stock Exchange experience significant value appreciation of 1.8% over a seven-day announcement window and significant increases in turnover and volatility compared with unconnected stocks with...

Persistent link: https://www.econbiz.de/10012855747

Persistence of Size and Value Premia and the Robustness of the Fama-French Three Factor Model : Evidence from the Hong Kong Stock Market

Nartea, Gilbert - 2011

We use Hong Kong stock market data from 1982-2001 to test the persistence of the size and value premia and the robustness of the Fama-French (FF) three-factor model in explaining the variation in stock returns. We document a statistically significant and persistent size effect or size premium...

Persistent link: https://www.econbiz.de/10013132723

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