Ex-day effects for rights issues in Hong Kong

In a fair/efficient market, the ex-adjustment in a rights offering should ensure that trading strategies around this date yield zero returns on average (after netting out market movements and transaction costs). This adjustment is assessed in this paper for one particular market - Hong Kong - which, a priori, offers a clearer picture of ex-adjustments given the general absence of market frictions (notably income and capital gains on locally-consummated share transactions). The analysis generally confirms an efficient adjustment process and also shows that perturbations from this correlate positively with the proportionate increase in the nominal share capital of the issuer, stemming from the rights issue.