This study investigates the role of liquidity in pricing stock returns in the Hong Kong stock market. Our results show that liquidity is an important factor for pricing returns in Hong Kong after taking well-documented asset pricing factors into consideration. The results are robust to adding...

The objective of this paper is to investigate the four-factor model's risk premiums in the Hong Kong stock market. We find that, except for the book-to-market factor, the magnitudes of market, size, and momentum premiums are close to each other. The pattern of the book-to-market premium is...

The relationship between property size and property investment yield is an interesting issue in the real estate market. Previous studies usually use the mean-variance criterion to compare the return-risk profiles of the yields of different property sizes in the US. However, this criterion has a...