The objective of this paper is to investigate the four-factor model’s risk premiums in the Hong Kong stock market. We find that, except for the book-to-market factor, the magnitudes of market, size, and momentum premiums are close to each other. The pattern of the book-to-market premium is similar to those of the size factor. Moreover, we also find that the four factors’ premiums and standard deviations are all higher than the US market. All four factor premiums are subject to the influence of seasonality. Except for the market premium, the other three factors are subject to up- and down-market conditions.