CAPM anomalies and the pricing of equity: evidence from the Hong Kong market

Yiu-Wah Ho, Roger Strange and Jenifer Piesse

Applied Economics, 2000, vol. 32, issue 12, 1629-1636

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.

Date: 2000
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DOI: 10.1080/000368400419014

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