This paper aims to analyze so-called anomalies or additional risk factors (other than market risk) on the Hong Kong stock exchange. To do so, we first select arbitrarily several factors that we a priori believe to be significant, we then collect the data and evaluate the returns associated with...

We estimate an implied value premium (IVP) using the implied cost of capital methodology. The implied value premium is the difference between the implied costs of capital of value stocks and growth stocks and is a direct estimate of the difference in expected returns between value stocks and...

This paper establishes dividend volatility as a fundamental risk metric that prices assets. We theoretically incorporate dividend volatility clustering into a model in which narrow-framing investors are loss averse over fluctuations in the value of their investments. Our model shows that...