The value investment strategy has been attracting academic attention all the time. The effectiveness of this strategy poses a strong challenge to traditional CAPM model, which take beta as the solely significant factor of cross-sectional variations. However up to now most of the researches of value strategy are limited in US, Europe and Japan markets, while the less efficient developing markets are seldom investigated. This thesis aims to test the effectiveness of value strategy in the Hong Kong stock market by analyzing 530 stocks listed in the Hong Kong Stock Exchange during the period 1980 to 2000.Of the three fundamental factors(market to book ratio (MTBV),size(MV)and earing price ratio (E/P))that are investigated, we find that value portfolios built on MTBV and E/P can produce returns that are significantly higher than those of the growth portfolios, while the value portfolio grouped by the MV factor cannot significantly outperform the growth portfolios. In the latter part of the thesis, we measured the risk-adjusted returns of the value strategy and the growth strategy using the Fama and French(1995)three factor model as the benchmark. We find that value portfolios are actually more volatile, more correlated with GDP growth, and remain to have no significant excess returns after the portfolio returns are adjusted with size and market-to-book risk factors. Therefore, we conclude that value portfolios are potentially more risky than the growth(glamour)portfolios, and the higher risk causes the higher returns of value portfolios. Our conclusion provides a support to Fama and French(1992,1993,1995 and 1996)'s Efficient Market Hypothesis defense.