File(s) not publicly available
Conditional pricing of risks
journal contribution
posted on 2023-06-08, 12:05 authored by Ron Yiu Wah Ho, Roger StrangeRoger Strange, Jenifer PiessePurpose – This paper aims to examine the pricing effects of risks conditional on market situations. Design/methodology/approach – The model used to test for the conditional pricing effects of risks is a modified version of Pettengill et al.'s cross-sectional regression model, based on Hong Kong equity data. Findings – The paper postulates a five-factor asset pricing model, which hypothesizes that five risk factors are relevant in the pricing of equity stocks, namely beta, size, book-to-market equity, market leverage, and share price, but conditional on market situations, i.e. whether the market is up or down. Practical implications – The findings enrich our understanding of capital market behaviour, and should prove helpful to investors and corporate managers in both their domestic and international financial decisions. Originality/value – This study yields important results on a Chinese market, which lend support to the conditional risk pricing hypotheses originally developed in the US, implying that conditional risk pricing is applicable not only in the US market but also in other markets around the globe.
History
Publication status
- Published
Journal
Journal of Economic StudiesISSN
0144-3585Publisher
Emerald GroupExternal DOI
Issue
1Volume
40Page range
88-97Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2013-02-28Usage metrics
Categories
No categories selectedKeywords
Licence
Exports
RefWorks
BibTeX
Ref. manager
Endnote
DataCite
NLM
DC