According to Hong Kong media, Hong Kong actress Cecilia Cheung had put on weight and was seen wearing maternity clothes recently.
There were rumours that the father of the baby could be a Chinese businessman, but the 35-year-old has never admitted their relationship.
In March 2015, Cheung was photographed with Chinese entertainment magnate Sun Donghai in Singapore.
She sat beside the 47-year-old and spent most of the night deep in conversation with him, but she would still stop to entertain fans' requests for photos, according to a report in Ming Pao Daily News.
He is reported to be a son of a wealthy family and involved in businesses including fashion, real estate, technology, television and film.
Cheung has two sons - Lucas and Quintus - aged seven and five from her previous marriage to Hong Kong artiste Nicholas Tse.