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...

This study uses the hot money, the World Bank and trade mis-invoicing methods to measure capital flights in Hong Kong. The study uses the OLS model to test the determinant of capital flights in Hong Kong and the round-tripping foreign direct investment model to estimate the round-tripping...

This research extends the study of Boscaljon and Ho and test the effect of market response to bank loan announcement in the Hong Kong banking market after the 1997 Asian crisis. The study also investigates whether bank is still ‘special' in the financial market by comparing the market response...

We employ low-frequency data to estimate historical volatility measures for Hong Kong stocks and examine the relationship between these measures and the one-month ahead stock return over thirty-five years. First, we employ a stock's past three-year weekly return to compute idiosyncratic...

We use Hong Kong stock market data for 1982-2001 to test the persistence of the size and value premia and therobustness 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 that...