Keith Lam

University of Macau

Associate Professor of Finance

Macau

  • University of Macau

SCHOLARLY PAPERS

5

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Scholarly Papers (5)

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1.

On the Validity of the Augmented Fama-French Four-Factor Model

Number of pages: 27 Posted: 17 Feb 2009
Keith Lam, Frank K. Li and Simon M. S. So
University of Macau, Independent and University of Macau
Downloads 1,360 (22,195)

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Fama-French, four-factor model, momentum, up and down markets, seasonality

2.

The Risk Premiums of the Four-Factor Asset Pricing Model in the Hong Kong Stock Market

Number of pages: 35 Posted: 13 May 2014
Keith Lam and Frank K. Li
University of Macau and Independent
Downloads 95 (408,931)
Citation 1

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Fama and French; four-factor model; risk premium; seasonality

3.

Are Higher Co-Moments Priced? A Tale of Two Countries

Number of pages: 40 Posted: 13 Nov 2017
Keith Lam, Liang Dong and Hung Wan Kot
University of Macau, University of Macau and University of Macau - Department of Finance and Business Economics
Downloads 53 (560,834)

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Higher co-moments; Coskewness; Cokurtosis; China stock market; UK stock market

4.

Blockholding and Market Reactions to Equity Offerings in China

Pacific-Basin Finance Journal, 20, 459-482
Number of pages: 51 Posted: 23 Dec 2011 Last Revised: 06 May 2013
William M. Cheung, Keith Lam and Lewis Tam
University of Macau, University of Macau and Faculty of Business Administration, University of Macau
Downloads 52 (565,485)

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blockholding, equity offerings, financial constraints, agency problems, cash flow sensitivity of cash

5.

Liquidity and Asset Pricing: Evidence from the Hong Kong Stock Market

Journal of Banking and Finance, Vol. 35, No. 9, 2011
Posted: 23 Dec 2011
Keith Lam and Lewis Tam
University of Macau and Faculty of Business Administration, University of Macau

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liquidity, turnover ratio, asset pricing, Hong Kong stock market, factor model