CAPM anomalies and the pricing of equity: evidence from the Hong Kong market

Using a sample of equity stocks traded on the Hong Kong stock market, this study examines empirically the independent and joint roles of the more comm only hypothesized variables in explaining cross-sectional variation in aver age returns over the period from January 1980 to December 1994. Evidence in dicates that beta, book leverage, earnings-price ratio and dividend yield a re not priced, whereas significant book-to-market equity, market leverage ( absorbed by book-to-market equity), size, and share price effects are obser ved. The findings should prove valuable in portfolio management and corpora te financial decisions.