Abstract Our earlier paper [see Ho, R. Y.-W., Strange, R., & Piesse, J. (2006). On the conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market. Journal of International Financial Markets, Institutions and Money, 16 , 124–199 reported evidence supporting significant conditional pricing effects of beta, size, and book-to-market equity in the Hong Kong market. This study attempts to extend our earlier work by examining the pricing of ...