Wu Hiu-fung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 86-89). / Abstracts in English and Chinese. / Abstract --- p.i / Table of Contents --- p.iv / List of Tables --- p.iii / List of Figures --- p.iv / Chapter I. --- Introduction --- p.1 / Chapter II. --- Literature Review --- p.10 / Chapter A. --- Existence and Persistence of Momentum Profitability --- p.10 / Chapter B. --- Potential Sources of Momentum Profitability and Behavioral Models Explanations --- p.11 / Chapter C. --- Evaluations of Possible Explanations --- p.14 / Chapter III. --- Data and Methodology --- p.18 / Chapter A. --- Portfolio Formation --- p.18 / Chapter B. --- Risk-Adjusted Momentum Profits --- p.20 / Chapter 1. --- Capital Asset Pricing Model (CAPM) (Sharpe (1964) and Lintner (1965)) --- p.21 / Chapter 2. --- Fama and French Three-Factor Model (Fama and French (1996)) --- p.21 / Chapter 3. --- Chordia and Shivakumar Four-Factor Model (Chordia and Shivakumar (2001)) --- p.21 / Chapter C. --- Momentum Profitability and Firm Characteristics --- p.24 / Chapter D. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.28 / Chapter IV. --- Empirical Results --- p.30 / Chapter A. --- Momentum Profitability in the Hong Kong Stock Market --- p.30 / Chapter B. --- Profitability of Momentum Portfolios in Each Calendar Month --- p.33 / Chapter C. --- Properties of Momentum Portfolios --- p.34 / Chapter D. --- Risk- adjusted Return of the Zero-cost Momentum Portfolio --- p.36 / Chapter E. --- Long-run Profitability of Momentum Portfolios --- p.37 / Chapter F. --- Momentum Profitability and Firm Characteristics --- p.42 / Chapter 1. --- Momentum Profitability and Firm Size --- p.42 / Chapter 2. --- Momentum Profitability and Book-to-market Ratio --- p.44 / Chapter 3. --- Momentum Profitability and Trading Volume --- p.45 / Chapter 4. --- Momentum Profitability and Stock Price --- p.46 / Chapter 5. --- Momentum Profitability and Industry Classifications --- p.46 / Chapter 6. --- Momentum Profitability and Analyst Coverage --- p.48 / Chapter 7. --- "Momentum Profitability, Firm Size and Book-to-market Ratio" --- p.49 / Chapter 8. --- "Momentum Profitability, Firm Size and Trading Volume" --- p.50 / Chapter 9. --- "Momentum Profitability, Book-to-market Ratio and Trading Volume" --- p.51 / Chapter 10. --- "Momentum Profitability, Firm Size and Analyst Coverage" --- p.52 / Chapter 11. --- "Momentum Profitability, Book-to-market and Analyst Coverage" --- p.52 / Chapter G. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.53 / Chapter V. --- Conclusion --- p.57 / Reference --- p.86