Journal ArticleDOI
The conditional relation between beta and returns in the Hong Kong stock market
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TLDR
In this paper, the risk-return relationship in the Hong Kong stock market is examined using the conditional method based on the work of Pettengill et al., which takes into consideration the dominating ex-post negative excess market returns found in the HK stock market.Abstract:
Published results of empirical tests over the past two decades indicate that the risk-return relation in the Hong Kong stock market is negative. Such findings refute the positive risk-returnrelation stipulatedinthe traditional CAPM. However, traditional CAPM invokes expected or ex-ante returns while empirical tests have used ex-post returns as an imperfect proxy. Thus, in this paper, the risk-return relationship in the Hong Kong stock market is examined using the conditional method based on the work of Pettengill et al., which takes into consideration the dominating ex-post negative excess market returns found in the Hong Kong stock market. Under the conditional Pettengill et al. method, test results demonstrate a strong conditional positive and negative risk-return relationships in the Hong Kong stock market. The results show that the estimated risk premiums in both up and down markets are insignificantly different from the corresponding expected risk premiums. But the estimated risk premiums of the up a...read more
Citations
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The Conditional Relation between Beta and Returns
TL;DR: The empirical studies on the validity of the positive beta-return relationship of the SLB model have been extensively carried out for the past four decades using average realized stock returns and an index of security returns to proxy for expected returns of stocks and market portfolio respectively as mentioned in this paper.
Journal ArticleDOI
Liquidity and asset pricing: Evidence from the Hong Kong stock market
Keith S. K. Lam,Lewis Tam +1 more
TL;DR: In this article, the role of liquidity in pricing stock returns in the Hong Kong stock market was investigated and the results showed that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration.
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The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market
TL;DR: In this article, the authors investigated the relation between stock returns and β, size, leverage, book-to-market equity ratio, and earnings-price ratio (E/P) in Hong Kong stock market using the Fama and French (FF) [J. Finance 47 (1992) 427] approach.
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Directors¿ Recommendations in Takeovers: An Agency and Governance Analysis
TL;DR: In this article, the authors evaluate whether directors of target companies make response recommendations in takeovers which are consistent with the interests of shareholders, by examining the relationship between target director recommendations and associated takeover characteristics and ownership and corporate governance characteristics.
Journal ArticleDOI
Conditional risk–return relationship in a time-varying beta model
Peng Huang,C. James Hueng +1 more
Abstract: We investigate the asymmetric risk–return relationship in a time-varying beta CAPM A state space model is established and estimated by the Adaptive Least Squares with Kalman foundations proposed by McCulloch Using S&P 500 daily data from 1987:11–2003:12, we find a positive risk–return relationship in the up market (positive market excess returns) and a negative relationship in the down market (negative market excess returns) This supports the argument of Pettengill et al, who use a constant beta model However, our model outperforms theirs by eliminating the unexplained returns and improving the accuracy of the estimated risk price
References
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The Cross‐Section of Expected Stock Returns
Eugene F. Fama,Kenneth R. French +1 more
TL;DR: In this paper, Bhandari et al. found that the relationship between market/3 and average return is flat, even when 3 is the only explanatory variable, and when the tests allow for variation in 3 that is unrelated to size.
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Risk, Return, and Equilibrium: Empirical Tests
Eugene F. Fama,James D. MacBeth +1 more
TL;DR: In this article, the relationship between average return and risk for New York Stock Exchange common stocks was tested using a two-parameter portfolio model and models of market equilibrium derived from the two parameter portfolio model.
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The relationship between return and market value of common stocks
TL;DR: Scholes et al. as discussed by the authors examined the relationship between the total market value of the common stock of a firm and its return and found that small firms had higher risk adjusted returns than large firms.
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Economic Forces and the Stock Market
TL;DR: In this paper, the authors test whether innovations in macroeconomic variables are risks that are rewarded in the stock market, and they find that these sources of risk are significantly priced and neither the market portfolio nor aggregate consumption are priced separately.