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

Herbert Y. T. Lam and Spyros Spyrou

Applied Economics Letters, 2003, vol. 10, issue 5, 307-310

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.

Date: 2003
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DOI: 10.1080/0003684032000066840

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