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The risk premiums of the four-factor asset pricing model in the Hong Kong stock market

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  • Keith Lam
  • Frank Li

Abstract

The objective of this article is to investigate the risk premiums of the four-factor model in the Hong Kong stock market. We find that the magnitudes of the market, size and momentum premiums are similar, and that the pattern of the book-to-market premium is similar to the pattern of the size factor. We also find that the premiums and SDs of the four factors are all higher in the Hong Kong market than in the US market. All four-factor premiums are subject to the influence of seasonality, and all except for the market premium are subject to up- and down-market conditions.

Suggested Citation

  • Keith Lam & Frank Li, 2008. "The risk premiums of the four-factor asset pricing model in the Hong Kong stock market," Applied Financial Economics, Taylor & Francis Journals, vol. 18(20), pages 1667-1680.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:20:p:1667-1680
    DOI: 10.1080/09603100701720443
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