Yiu Wah Ho, Ron; Strange, Roger; Piesse, Jenifer - In: Journal of Economic Studies 40 (2013) 1, pp. 88-97
Purpose – This paper aims to examine the pricing effects of risks conditional on market situations. Design …/methodology/approach – The model used to test for the conditional pricing effects of risks is a modified version of Pettengill et al. 's cross …‐sectional regression model, based on Hong Kong equity data. Findings – The paper postulates a five‐factor asset pricing model, which …