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On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market

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  • Keith Lam
  • Frank Li
  • Simon So

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  • Keith Lam & Frank Li & Simon So, 2010. "On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 89-111, July.
    • Handle: RePEc:kap:rqfnac:v:35:y:2010:i:1:p:89-111
    DOI: 10.1007/s11156-009-0151-x
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    References listed on IDEAS

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    9. Weimin Lui & Norman Strong & Xinzhong Xu, 1999. "The Profitability of Momentum Investing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(9-10), pages 1043-1091.
    10. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    11. Hon, Mark T. & Tonks, Ian, 2003. "Momentum in the UK stock market," Journal of Multinational Financial Management, Elsevier, vol. 13(1), pages 43-70, February.
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    18. Narasimhan Jegadeesh & Sheridan Titman, 2001. "Profitability of Momentum Strategies: An Evaluation of Alternative Explanations," Journal of Finance, American Finance Association, vol. 56(2), pages 699-720, April.
    19. Shum, Wai Cheong & Tang, Gordon Y.N., 2005. "Common risk factors in returns in Asian emerging stock markets," International Business Review, Elsevier, vol. 14(6), pages 695-717, December.
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    22. Dirk Schiereck & Werner De Bondt & Martin Weber, 1999. "Contrarian and Momentum Strategies in Germany," Financial Analysts Journal, Taylor & Francis Journals, vol. 55(6), pages 104-116, November.
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    24. Weimin Lui & Norman Strong & Xinzhong Xu, 1999. "The Profitability of Momentum Investing," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 26(9‐10), pages 1043-1091, November.
    25. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    26. Lam, Keith S. K., 2002. "The relationship between size, book-to-market equity ratio, earnings-price ratio, and return for the Hong Kong stock market," Global Finance Journal, Elsevier, vol. 13(2), pages 163-179.
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    28. Chui, Andy C. W. & Wei, K. C. John, 1998. "Book-to-market, firm size, and the turn-of-the-year effect: Evidence from Pacific-Basin emerging markets," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 275-293, August.
    29. L'Her, Jean-Francois & Masmoudi, Tarek & Suret, Jean-Marc, 2004. "Evidence to support the four-factor pricing model from the Canadian stock market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 14(4), pages 313-328, October.
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    Cited by:

    1. Lam, Keith S.K. & Qiao, Zhuo, 2015. "Herding and fundamental factors: The Hong Kong experience," Pacific-Basin Finance Journal, Elsevier, vol. 32(C), pages 160-188.
    2. Dipesh Karki & Binam Ghimire, 2016. "Explaining Stock Returns in Nepal: Application of Single and Multi-factor models," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 5(3), pages 1-3.

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    More about this item

    Keywords

    Fama and French; Four-factor model; Momentum; Up and down markets; Seasonality; G12; G15;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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