On the validity of the augmented Fama and French’s (1993) model: evidence from the Hong Kong stock market

  • Keith S. K. Lam
  • Frank K. Li
  • Simon M. S. So
Original Research


This paper investigates the performance of four-factor asset pricing model using Hong Kong stock returns. Our four-factor model is constructed by adding a momentum factor into the Fama and French’s (J Finance Econ 33(1):3–56, 1993) three-factor model. We find that the four-factor model may explain return variation using Hong Kong data. Our results show evidence that all the four factors are significant in the model and intercepts are not significant. In addition, the reasonably high values of adjusted R 2 and the insignificance of an additional explanatory variable of residual standard deviation provide supportive evidence to the model. The robustness of the model is also checked for two effects: up- and down-market conditions and seasonal behavior.


Fama and French Four-factor model Momentum Up and down markets Seasonality 

JEL Classification

G12 G15 


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Copyright information

© Springer Science+Business Media, LLC 2009

Authors and Affiliations

  • Keith S. K. Lam
    • 1
  • Frank K. Li
    • 2
  • Simon M. S. So
    • 3
  1. 1.Department of Finance and Business Economics, Faculty of Business AdministrationUniversity of MacauTaipa, MacauChina
  2. 2.Private BankingChina Merchants BankShenzhenChina
  3. 3.Department of Accounting and Information ManagementUniversity of MacauMacauChina

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