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The Driving Forces of Stock Returns in Hong Kong

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  • Samuel Xin Liang

Abstract

We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor. It is different from the U.S. market and other developed markets that the momentum, dividend yield, cash-flow yield, earnings yield, and return-reversal factors are not significant pricing factors for stock returns in Hong Kong. Our Fama-MacBeath (1973) regressions show that a stock’s value (cash-flow yield and book-to-market ratio) is the strongest predictor of stock returns in Hong Kong after controlling for market, value, and size factors and macroeconomic factors.

Suggested Citation

  • Samuel Xin Liang, 2019. "The Driving Forces of Stock Returns in Hong Kong," Accounting and Finance Research, Sciedu Press, vol. 8(4), pages 1-1, November.
    • Handle: RePEc:jfr:afr111:v:8:y:2019:i:4:p:1
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    References listed on IDEAS

    as
    1. Kent Daniel & Sheridan Titman & K.C. John Wei, 2001. "Explaining the Cross‐Section of Stock Returns in Japan: Factors or Characteristics?," Journal of Finance, American Finance Association, vol. 56(2), pages 743-766, April.
    2. Samuel Xin Liang, 2019. "What drives stock returns in Japan?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 33(1), pages 39-69, March.
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    More about this item

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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