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CAPM anomalies and the pricing of equity: evidence from the Hong Kong market
16 references·4 citing·24 second hop
CAPM anomalies and the pricing of equity: evidence from the Hong Kong market (2000)CAPM anomalies and the pricing of equity:…Another Look at the Cross-Section of Expected Stock Returns (1995)Another Look at the Cross-Sec…The journal of financial economics (1993)The journal of financial econ…The Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…Structural and Return Characteristics of Small and Large Firms (1991)Structural and Return Charact…Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence (1988)Debt/Equity Ratio and Expecte…An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk (1988)An Unconditional Asset-Pricin…Persuasive evidence of market inefficiency (1985)Persuasive evidence of market…Risk and return (1984)Risk and returnThe relationship between earnings' yield, market value and return for NYSE common stocks (1983)The relationship between earn…Biases in computed returns (1983)Biases in computed returnsThe Effects of Dividends on Common Stock Prices Tax Effects or Information Effects? (1982)The Effects of Dividends on C…The relationship between return and market value of common stocks (1981)The relationship between retu…The effect of personal taxes and dividends on capital asset prices (1979)The effect of personal taxes …Risk, Return, and Equilibrium: Empirical Tests (1973)Risk, Return, and Equilibrium…Capital Market Equilibrium with Restricted Borrowing (1972)Capital Market Equilibrium wi…The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria (2015)CAPM Anomalies and the Effici…Testing the relation between beta and returns in the Athens stock exchange (2010)Testing the relation between …On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market (2009)On the validity of the augmen…Beta, size, book-to-market equity and returns: A study based on UK data (2006)Beta, size, book-to-market eq…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Fundamentals and Stock Returns in Japan (1991)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Estimating betas from nonsynchronous data (1977)Efficient Capital Markets: II (1991)Replicating Anomalies (2018)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Noise (1986)Evidence on the Characteristics of Cross Sectional Variation in Stock Returns (1997)Chapter 18 A survey of behavioral finance (2003)The Behavior of Stock-Market Prices (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)The arbitrage theory of capital asset pricing (1976)Boys will be Boys: Gender, Overconfidence, and Common Stock Investment (2001)Institutional Investors and Equity Prices (2001)Relational Contracts and the Theory of the Firm (2002)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Editor's Choice Digesting Anomalies: An Investment ApproachFurther Evidence On Investor Overreaction and Stock Market Seasonality (1987)Investor Psychology and Asset Pricing (2001)
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References

  • 1992The Cross-Section of Expected Stock Returns17,251 cited
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  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1981The relationship between return and market value of common stocks5,928 cited
  • 1972Capital Market Equilibrium with Restricted Borrowing3,097 cited
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  • 1985Persuasive evidence of market inefficiency1,951 cited
  • 1983The relationship between earnings' yield, market value and return for NYSE common stocks1,640 cited
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  • 1995Another Look at the Cross-Section of Expected Stock Returns1,007 cited
  • 1991Structural and Return Characteristics of Small and Large Firms826 cited
  • 1983Biases in computed returns771 cited
  • 1982The Effects of Dividends on Common Stock Prices Tax Effects or Information Effects?447 cited
  • 1984Risk and return317 cited

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  • 1988An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk246 cited
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    • 2006Beta, size, book-to-market equity and returns: A study based on UK data43 cited
    • 2010Testing the relation between beta and returns in the Athens stock exchange36 cited
    • 2009On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market27 cited
    • 2015CAPM Anomalies and the Efficiency of Stock Markets in Transition: Evidence from Bulgaria24 cited