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    Testing Fama and French three-factor model for Hong Kong stocks : an empirical analysis

    Wu, Ji
    Abstract
    This study tests the performance of the Fama-French three-factor model (1993) in explaining the stock portfolio returns in the Hong Stock market during the period from 1982 to 2001. Results show that firm size has an important effect on stock portfolio returns during the testing period. The book-to-market equity ratio also has an effect on stock portfolio returns, but it is weak compared to the size effect. The three-factor model also had a better performance in explaining the stock portfolio returns than the Capital Asset Pricing Model (1964). Finally, this study concludes that the three-factor model could be used to explain the January effect in the Hong Kong stock market.... [Show full abstract]
    Keywords
    Hong Kong stock market; Fama-French three-factor model; portfolio; returns; asset pricing; book-to-market; Capital Asset Pricing Model (CAPM); firm size
    Date
    2006
    Type
    Thesis
    Access Rights
    Digital thesis can be viewed by current staff and students of Lincoln University only. If you are the author of this item, please contact us if you wish to discuss making the full text publicly available.
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