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dc.contributor.authorWu, Jien
dc.date.accessioned2010-07-02T01:50:20Z
dc.date.issued2006en
dc.identifier.urihttps://hdl.handle.net/10182/2180
dc.description.abstractThis 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.en
dc.format.extent1-146en
dc.language.isoenen
dc.publisherLincoln Universityen
dc.subjectHong Kong stock marketen
dc.subjectFama-French three-factor modelen
dc.subjectportfolioen
dc.subjectreturnsen
dc.subjectasset pricingen
dc.subjectbook-to-marketen
dc.subjectCapital Asset Pricing Model (CAPM)en
dc.subjectfirm sizeen
dc.titleTesting Fama and French three-factor model for Hong Kong stocks : an empirical analysisen
dc.typeThesis
thesis.degree.grantorLincoln Universityen
thesis.degree.levelMastersen
thesis.degree.nameMaster of Commerce and Managementen
lu.contributor.unitLincoln Universityen
lu.contributor.unitFaculty of Agribusiness and Commerceen
lu.contributor.unitDepartment of Financial and Business Systemsen
dc.rights.accessRightsDigital thesis can be viewed by current staff and students of Lincoln University only. Print copy available for reading in Lincoln University Library. en
pubs.organisational-group/LU
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce
pubs.organisational-group/LU/Faculty of Agribusiness and Commerce/FABS
pubs.publication-statusPublisheden
dc.publisher.placeChristchurchen


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