Abstract
Using a sample of equity stocks traded on the Hong Kong stock market, this study examines empirically the independent and joint roles of the more commonly hypothesized variables in explaining cross-sectional variation in average returns over the period from January 1980 to December 1994. Evidence indicates that beta, book leverage, earnings-price ratio and dividend yield are not priced, whereas significant book-to-market equity, market leverage (absorbed by book-to-market equity), size, and share price effects are observed. The findings should prove valuable in portfolio management and corporate financial decisions.
| Original language | English |
|---|---|
| Pages (from-to) | 1629 - 1636 |
| Number of pages | 8 |
| Journal | Applied Economics |
| Volume | 32 |
| Issue number | 12 |
| Publication status | Published - 2000 |