TAILIEUCHUNG - The driving forces of stock returns in Hong Kong

We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor. | http Accounting and Finance Research Vol. 8 No. 4 2019 The Driving Forces of Stock Returns in Hong Kong Samuel Xin Liang1 1Tyndale Seminary Tyndale University College and Seminary Toronto Ontario Canada Correspondence Samuel Xin Liang Tyndale University College and Seminary Toronto Ontario M2M 3S4 Canada. E-mail Received April 8 2019 Accepted September 2 2019 Online Published September 3 2019 doi URL https Abstract We comprehensively investigate what drives stock returns in Hong Kong stock market which has been consistently ranked as one of the most important markets for IPOs. We find that Hong Kong inflation rate is a systematic pricing factor across stocks after controlling for Fama-French three-factor. It is different from the . market and other developed markets that the momentum dividend yield cash-flow yield earnings yield and return-reversal factors are not significant pricing factors for stock returns in Hong Kong. Our Fama-MacBeath 1973 regressions show that a stock s value cash-flow yield and book-to-market ratio is the strongest predictor of stock returns in Hong Kong after controlling for market value and size factors and macroeconomic factors. JEL Classification G11 G12 G15 Keywords systematic risk factor inflation rate pricing premium cash flow yield return predictability 1. Introduction Hong Kong has been consistently ranked as one of the most important markets for Initial Public Offerings IPOs by dollar value in the past decades. It has been serving global investors as a prominent international financial center and an international trading hub for global goods and services for the Asia Pacific region. Both the International Monetary Fund IMF and the International Financial Corporation IFC of the World Bank Group classify Hong Kong as a developed economy. Therefore global investors demand a comprehensive investigation on what drives stock returns in Hong Kong

• Kế toán - Kiểm toán
• Systematic risk factor
• Inflation rate
• Pricing premium
• Cash flow yield
• Return predictability
• Systematic correlation risk
• MacBeth regression
• Regime switching
• Correlation transformation
• Priced as risk factor
• Public health
• Gestational diabetes
• Environmental health
• Environmental risk factor
• Systematic review
• BMC Musculoskeletal Disorders
• Total hip arthroplasty
• Total knee arthroplasty
• Venous thromboembolism
• Risk factor
• BMC Cancer
• Cancer related lymphedema
• Middle income countries
• Secondary lymphedema due
• Identify risk factors
• Mendelian randomization
• Systematic search
• Causal inference
• Anterior cruciate ligament
• Knee abduction
• Knee injury
• Postnatal depression
• Maternal depression
• Maternal mental health
• Attachment theory
• Adult attachment style
• Review systematic
• Testicular cancer
• Physical activity
• Increased adult height
• BMC Pharmacology and Toxicolog
• Liver cirrhosis
• Chronic liver disease
• Meta analysis
• Possible etiologic factors
• Prostate cancer
• Meta–analysis
• Misclassification error
• Public health implications
• Endometrial cancer
• Established risk factor
• High grade tumors
• Cell carcinomas
• BMC Pediatrics
• Respiratory syncytial virus
• Respiratory infection
• Environmental tobacco smoke
• RSV disease