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Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong

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  • Herbert Y. T. Lam
  • Spyros I. Spyrou

Abstract

Recent empirical evidence indicates that size and book-to-market ratios explain adequately a large part of average stock returns. This paper examines the association of a number of fundamental variables with the cross section of stock returns in the Hong Kong Stock Exchange. The results suggest that, during the 1990s, the small-firm effect has actually gone into reverse and that size and book-to-market equity have a statistically significant relationship with average returns. Beta has little or no role as an explanatory variable.

Suggested Citation

  • Herbert Y. T. Lam & Spyros I. Spyrou, 2003. "Fundamental variables and the cross-section of expected stock returns: the case of Hong Kong," Applied Economics Letters, Taylor & Francis Journals, vol. 10(5), pages 307-310, April.
    • Handle: RePEc:taf:apeclt:v:10:y:2003:i:5:p:307-310
    DOI: 10.1080/0003684032000066840
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    Cited by:

    1. Burton G. Malkiel & Derek Jun, 2009. "The Value Effect and the Market For Chinese Stocks," Working Papers 1177, Princeton University, Department of Economics, Center for Economic Policy Studies..
    2. Gordon Tang & Wai Cheong Shum, 2006. "Risk-return relationships in the Hong Kong stock market: revisit," Applied Financial Economics, Taylor & Francis Journals, vol. 16(14), pages 1047-1058.
    3. Chen, Tsung-Cheng & Chien, Chin-Chen, 2011. "Size effect in January and cultural influences in an emerging stock market: The perspective of behavioral finance," Pacific-Basin Finance Journal, Elsevier, vol. 19(2), pages 208-229, April.
    4. repec:pri:cepsud:188malkiel is not listed on IDEAS
    5. Burton G. Malkiel & Derek Jun, 2009. "The Value Effect and the Market For Chinese Stocks," Working Papers 1177, Princeton University, Department of Economics, Center for Economic Policy Studies..
    6. Malkiel, Burton & Jun, Derek, 2009. "The "value" effect and the market for Chinese stocks," Emerging Markets Review, Elsevier, vol. 10(4), pages 227-241, December.

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