The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market

Lam, Keith

doi:10.1016/s1044-0283(02)00049-2

Cited by 66 publications

(49 citation statements)

References 24 publications

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“…This is consistent with our expectations since when the economy faces depression and financial crisis, many firms are not able to pay their liabilities and the burden of financial issues is moved on banks' shoulders. The results of this study were consistent with findings of other studies (Ignatieva & Gallagher, 2011;Khan & Ahmed, 2001;Lam, 2002;Claessens et al, 1995).…”

Section: Resultssupporting

confidence: 93%

A study on effective factors influencing on equity risk in banking industry

Valahzaghard¹,

Rahimi²

2014

10.5267/j.msl

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Section: Resultssupporting

confidence: 93%

A study on effective factors influencing on equity risk in banking industry

Valahzaghard¹,

Rahimi²

2014

10.5267/j.msl

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“…The value effect was observed in stocks returns by Chan, Hamao and Lakonishok [1991], French [1998, 2011], Rouwenhorst [1999], Lam [2002], Ghargohori [2009], Chui, Titman, and Wei [2010], Asness, Moskowitz, and Pedersen [2013]. Lischewski and Voronkova [2012], Kowerski [2006], Kowerski [2008], Żarnowski [2007], Czapkiewicz and Skalna [2010] , and Borys and Zamcik [2011], confirmed the value effect on the Polish equity market.…”

Section: Value Factormentioning

confidence: 83%

The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

Zaremba¹,

Konieczka²

2014

Optimum

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SummaryThe paper examines the relations between selected company characteristics and common stock returns. In the paper, we concentrate on four well-recognized fundamental factors determining stock returns: momentum, value, size and liquidity. First, we review the existing literature in the field. Second, we investigate the relationship between fundamental factors and stock returns on the Polish market. Our computations are based on all companies on the Warsaw Stock Exchange listed in the period 2000-12. Our research provides fresh out-of-sample evidence for momentum, value, size and liquidity premium from the Polish market.

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“…Mukherji et al (1997) notice that annual returns on the Korean stocks are highly related to size and B/M. Ho et al (2000) and Lam (2002) find significant size and B/M effects in Hong Kong stock market. In another comprehensive study, Chui and Wei (1998) find that B/M can elucidate the cross-sectional variation of expected returns in Malaysia, Hong Kong, and Journal of Financial Risk Management Korea whereas the size effect is found significant in all the markets except Taiwan.…”

Section: Literature Reviewmentioning

confidence: 94%

Functioning of Fama-French Three-Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh

Chowdhury¹

2017

JFRM

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This paper attempts to test the functioning of Fama-French (FF) three-factor model at Chittagong Stock Exchange (CSE). The three factors include market risk premium, size risk and book to market risk. Nine portfolios are constructed by taking daily closing prices of thirty selective stocks of CSE from January 2010 to December 2014. Treasury bill rates of Bangladesh are used as a proxy for the risk-free rate. This study finds, stocks with small market capital outperform that of large market capital. It also observes that higher book to market ratio yields poor earnings. Although return at CSE is significantly influenced by rational size, it is weakly affected by value. Being a rumor driven and inefficient market, the FF model has positive but weaker explanatory capacity on stock returns at CSE.

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The relationship between size, book-to-market equity ratio, earnings–price ratio, and return for the Hong Kong stock market

Cited by 66 publications

References 24 publications

A study on effective factors influencing on equity risk in banking industry

A study on effective factors influencing on equity risk in banking industry

The Relations Between Momentum, Value Size, And Liquidity Factors And Stock Returns On The Polish Market

Functioning of Fama-French Three-Factor Model in Emerging Stock Markets: An Empirical Study on Chittagong Stock Exchange, Bangladesh

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