IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market

  • Ho, Ron Yiu-wah
  • Strange, Roger
  • Piesse, Jenifer
Registered author(s):

    No abstract is available for this item.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.sciencedirect.com/science/article/B6VGT-4H0S1GF-1/2/c9218d85455b1deb757467cccf2a15c1
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

    Volume (Year): 16 (2006)
    Issue (Month): 3 (July)
    Pages: 199-214

    as
    in new window

    Handle: RePEc:eee:intfin:v:16:y:2006:i:3:p:199-214
    Contact details of provider: Web page: http://www.elsevier.com/locate/intfin

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

    as in new window
    1. Glenn Pettengill, 2002. "Payment For Risk: Constant Beta Vs. Dual-Beta Models," The Financial Review, Eastern Finance Association, vol. 37(2), pages 123-135, 05.
    2. Östermark, R, 1991. "Empirical evidence on the capital asset pricing model (CAPM) in two Scandinavian stock exchanges," Omega, Elsevier, vol. 19(4), pages 223-234.
    3. Chan, Louis K C & Hamao, Yasushi & Lakonishok, Josef, 1991. " Fundamentals and Stock Returns in Japan," Journal of Finance, American Finance Association, vol. 46(5), pages 1739-64, December.
    4. Fletcher, Jonathan, 1997. "An examination of the cross-sectional relationship of beta and return: UK evidence," Journal of Economics and Business, Elsevier, vol. 49(3), pages 211-221.
    5. Fletcher, Jonathan, 2000. "On the conditional relationship between beta and return in international stock returns," International Review of Financial Analysis, Elsevier, vol. 9(3), pages 235-245.
    6. Chan, K C & Chen, Nai-Fu, 1991. " Structural and Return Characteristics of Small and Large Firms," Journal of Finance, American Finance Association, vol. 46(4), pages 1467-84, September.
    7. Edward E. Leamer, 1982. "Let's Take the Con Out of Econometrics," UCLA Economics Working Papers 239, UCLA Department of Economics.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, 09.
    9. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-65, June.
    10. Andrew Chan & Alice P.L. Chui, 1996. "An Empirical Re-Examination of the Cross-Section of Expected Returns: UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 23(9-10), pages 1435-1452, December.
    11. Elsas, Ralf & El-Shaer, Mahmoud & Theissen, Erik, 2003. "Beta and returns revisited: Evidence from the German stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(1), pages 1-18, February.
    12. Yue-Cheong Chan, 1997. "Multivariate testing of the capital asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 311-316.
    13. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
    14. Hodoshima, Jiro & Garza-Gomez, Xavier & Kunimura, Michio, 2000. "Cross-sectional regression analysis of return and beta in Japan," Journal of Economics and Business, Elsevier, vol. 52(6), pages 515-533.
    15. Black, Fischer, 1972. "Capital Market Equilibrium with Restricted Borrowing," The Journal of Business, University of Chicago Press, vol. 45(3), pages 444-55, July.
    16. Pettengill, Glenn N. & Sundaram, Sridhar & Mathur, Ike, 1995. "The Conditional Relation between Beta and Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 30(01), pages 101-116, March.
    Full references (including those not matched with items on IDEAS)

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eee:intfin:v:16:y:2006:i:3:p:199-214. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.