The Tracker Fund of Hong Kong, the first launched exchange-traded fund in Asia except Japan, aims to track the performance of the Hang Seng Index. This article examines the fund's characteristic via investigating the intraday and intraweek patterns of the fund's premiums. Empirical results...

This article examines the risk-return relations conditional on up and down market periods in the Korean and Taiwan stock markets. Based on statistical tests adjusted for the effects of heteroskedasticity and autocorrelation of the residuals, beta is found positively (negatively) related to...

This study revisits the risk-return relationships in the Hong Kong stock market using a conditional model based on up and down markets. Beta is found significantly and positively (negatively) related to realized returns when the market excess returns are positive (negative). The same results are...

This article empirically examines the usefulness of beta, firm size, book-to-market equity ratio (B/M) and earnings-to-price ratio (E/P), as risk proxies in explaining the cross-sectional returns in the Singapore stock market under both unconditional and conditional frameworks based on up and...