by Mok, Wai Man Ronald. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 59-63). / ABSTRACT --- p.ii / ACKNOWLEDGEMENTS --- p.iii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vi / LIST OF TABLES --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter 1.1 --- Firm Size Effect --- p.2 / Chapter 1.2 --- Hong Kong Situation --- p.3 / Chapter 1.3 --- Outline of the Research Report --- p.4 / Chapter II. --- LITERATURE REVIEW --- p.5 / Chapter 2.1 --- The Size Effect as a Statistical Artifact --- p.6 / Chapter 2.2 --- Further Characterization of the Size Effect --- p.11 / Chapter 2.3 --- Economic Explanations for the Size Effect --- p.12 / Chapter 2.3.1 --- Tax Effects --- p.12 / Chapter 2.3.2 --- International Evidence on Tax Effects --- p.13 / Chapter 2.3.3 --- Transaction Costs --- p.16 / Chapter 2.3.4 --- Ownership Structure --- p.17 / Chapter 2.3.5 --- Other modifications of the CAPM --- p.18 / Chapter III. --- OVERVIEW OF THE HONG KONG STOCK MARKET --- p.19 / Chapter IV. --- RESEARCH OBJECTIVES AND THEORETICAL FRAMEWORK --- p.21 / Chapter 4.1 --- Research Objectives --- p.21 / Chapter 4.2 --- Theoretical Framework --- p.22 / Chapter 4.2.1 --- Capital Asset Pricing Model (CAPM) --- p.22 / Chapter 4.2.2 --- Assumptions of CAPM --- p.23 / Chapter 4.2.3 --- Suitability of the Model --- p.23 / Chapter V. --- SAMPLE DATA AND METHODOLOGY --- p.25 / Chapter 5.1 --- Sample Data --- p.25 / Chapter 5.1.1 --- Data Sources --- p.25 / Chapter 5.1.2 --- Sample Period --- p.25 / Chapter 5.1.3 --- Sample Selection --- p.26 / Chapter 5.1.4 --- Market Index --- p.26 / Chapter 5.2 --- Methodology --- p.27 / Chapter 5.2.1 --- Portfolio Construction --- p.27 / Chapter 5.2.2 --- Raw Return --- p.28 / Chapter 5.2.3 --- Excess Return --- p.30 / Chapter 5.2.4 --- Excess Return Adjusted for Infrequent Trading --- p.31 / Chapter 5.2.5 --- Seasonality --- p.32 / Chapter VI. --- EMPIRICAL RESULTS & ANALYSIS --- p.34 / Chapter 6.1 --- Raw Returns --- p.34 / Chapter 6.2 --- Excess Returns --- p.36 / Chapter 6.3 --- Excess Returns Adjusted for Infrequent Trading --- p.42 / Chapter 6.4 --- Seasonality --- p.46 / Chapter 6.4.1 --- Raw Returns --- p.46 / Chapter 6.4.2 --- Excess Returns --- p.48 / Chapter 6.4.3 --- Excess Returns Adjusted for Infrequent Trading --- p.51 / Chapter VII. --- IMPLICATION OF FINDINGS AND CONCLUSION --- p.54 / APPENDIX 1 List of Companies of the Five Portfolios --- p.57 / APPENDIX 2 Average Market Value of Companies of the Five Portfolios --- p.58 / BIBLIOGRAPHY --- p.59

by Chu Yee-Mon & Ku Wan-Shim. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 40-41). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / Chapter I. --- INTRODUCTION --- p.1 / Chapter II. --- BACKGROUND AND LITERATURE SEARCH / Price earnings ratio anomaly --- p.3 / Over-reaction to earnings effect --- p.4 / January effect --- p.5 / Firm size effect --- p.6 / Chapter III. --- STATEMENT OF OBJECTIVES --- p.8 / Chapter IV. --- RESEARCH HYPOTHESES --- p.9 / Chapter V. --- METHODOLOGY / Research design --- p.10 / Data collection method --- p.13 / "Sampling (method, size, frame)" --- p.13 / Data collection process --- p.15 / Additional sample screening --- p.15 / Chapter VI. --- ANALYSIS AND INTERPRETATION / Sample size --- p.16 / Monthly returns & adjustment for capitalization changes --- p.16 / The market model linear regression analysis --- p.17 / Additional screening for data --- p.19 / Comparison of betas with published results --- p.21 / Monthly abnormal returns --- p.23 / PE ratios and quartiles --- p.23 / PE quartiles and firm sizes --- p.24 / PE ratios and abnormal returns --- p.26 / PE ratios and returns --- p.31 / "PE ratios, firm sizes and abnormal returns" --- p.33 / Chapter VII. --- LIMITATIONS / Limitation of methodology --- p.37 / The applicability of the market model --- p.38 / Chapter VIII. --- SUMMARY OF FINDINGS --- p.39 / BIBLIOGRAPHY --- p.40 / APPENDICES / Chapter A --- Market Model Regression Analysis and Abnormal Returns of individual stocks / Chapter B --- Monthly Abnormal (Market-Model Adjusted) Returns for 1990: Portfolio ranked on the magnitude of the firm's Actual Price on Dec 18 1989/1988 Earning (PE) Ratio Monthly Abnormal (Market-Model Adjusted) Returns for 1991: Portfolio ranked on the magnitude of the firm's Actual Price on Dec 18 1990/1989 Earning (PE) Ratio / Chapter C --- Average Monthly Abnormal (Market-Model Adjusted) Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio / Chapter D --- Average Monthly Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio / Chapter E --- Average Monthly Abnormal (Market-Model Adjusted) Returns for 1990 and 1991: Portfolio ranked on the magnitude of the firm's Actual Price/Last Year Earnings (PE) Ratio and then Firm Size

by Lau Yiu Fai, Lawrence. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1992. / Includes bibliographical references (leaves 44-45). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / ACKNOWLEDGEMENT --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Background --- p.2 / Mechanism of Rights Issue --- p.6 / Underwriting --- p.10 / Intrinsic Value of Rights --- p.14 / Advantages of Rights Issues for Fund Raising --- p.15 / Trading Strategies for Shareholders --- p.16 / Chapter II. --- METHODOLOGY OF ANALYSIS --- p.17 / Introduction and Literature Review --- p.17 / Performing the Event Study (Announcement of Rights Issue) of the Hong Kong Stocks. --- p.22 / Results Analysis --- p.27 / Correlations Between Rates of Change in Stock Price During the Announcement Period and the Size of the Proceeds --- p.28 / Results Analysis --- p.33 / The Price effect of Rights Issues and the Total Net Assets of the Company --- p.34 / Results Analysis --- p.35 / Chapter III. --- CONCLUSION --- p.37 / EXHIBITS --- p.40 / BIBLIOGRAPHY --- p.44

Sun Qi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves [83-85]). / Abstracts in English and Chinese. / Chapter SECTION ONE --- INTRODUCTION --- p.1 / Chapter SECTION TWO --- LITERATURE REVIEW --- p.6 / BENEFIT OF DIVERSIFICATION --- p.6 / COST OF DIVERSIFICATION --- p.9 / EMPIRICAL EVIDENCE --- p.12 / Chapter SECTION THREE --- CLINIC STUDY OF THE BANKRUPTCY OF GITIC --- p.15 / Chapter I. --- BACKGROUND OF GITIC --- p.16 / Chapter II. --- FACTORS BEHIND THE FAILURE --- p.19 / Chapter III. --- NEGATIVE INFLUENCE --- p.34 / Chapter IV. --- OVERVIEW OF THE RED CHIPS --- p.40 / Chapter SECTION FOUR --- GENERAL ANALYSIS ONE: CORPORATE COST OF CAPITAL AND THE RETURN ON CORPORATE INVESTMENT --- p.52 / Chapter I. --- SAMPLE DESCRIPTION --- p.54 / Chapter II. --- RESEARCH METHODOLOGY DESCRIPTION --- p.55 / Chapter III. --- INVESTIGATION OVER THE RESULTS --- p.61 / CAPITAL STRUCTURES --- p.61 / CASHFLOWS AND FINANCING DECISIONS --- p.64 / INTERNAL RATE OF RETURN ON VALUE AND COST --- p.68 / Chapter SECTION FIVE --- GENERAL ANALYSIS TWO: DIVERSIFICATION AND CORPORATE STOCK RETURN --- p.72 / Chapter I. --- MEASURE OF FOCUS --- p.72 / Chapter II. --- REGRESSION DESCRIPTION --- p.73 / Chapter III. --- REGRESSION REPORT --- p.74 / Chapter SECTION SIX --- CONCLUSION --- p.78 / TABLES / Chapter 1. --- NON-FINANCIAL CORPORATE STRUCURES / Chapter 2. --- "AGGREGATE ANNUAL CASH INFLOWS AND OUTFLOWS AS PERCENTS OF AGGEGATE BEGINNING OF YEAR BOOK CAPITAL,1992-1998" / Chapter 3. --- "AGGREGATE INVESTMENT AND FORMS OF FINANCING AS PERCENTS OF AGGREGATE BEGINNING OF YEAR BOOK CAPITAL,1992-1998" / Chapter 4. --- "BASIC DATA OF THE ENTERING FIRMS YEAR BY YEAR,1992-1997" / Chapter 5. --- "RATES OF RETURN ON VALUE AND COST (IN PERCENT) FOR NON-FINANCIAL RED CHIPS,1992-1998" / Chapter 6. --- CORPORATE FOCUS AND STOCK RETURNS / APPENDIX / Chapter 1. --- RED CHIPS BY THE END OF1998 / Chapter 2. --- THE COLLAPS OF GITIC (SUMMARY) / Chapter 3. --- SOME SYDICATED LOANS OF RED CHIPS MATURING IN1999 / Chapter 4. --- GROWTH RATE OF ASSETS (GRA) AND RETURN ON ASSETS (ROA) / Chapter 5. --- RETURN ON ASSETS FOR NON-FINANCIAL RED CHIPS (PERCENT) / Chapter 6. --- RETURN ON COMMON EQUITY FOR NON-FINANCIAL RED CHIPS (PERCENT) / Chapter 7. --- DEBT TO EQUITY RATIOS OF RED CHIPS (PERCENTAGE) / Chapter 8. --- CROSS-SECTIONAL REGRESSION REPORT / Chapter 9. --- CROSS-SECTIONAL REGRESSION OUTPUTS (CONTROLLING THE CORRELATION BETWEEN EXPLANATORY VARIABLES)

by Mak Ho Sing. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1996. / Includes bibliographical references (leaves 54-58). / Abstract / Chapter Chapter 1: --- Introduction / Chapter Chapter 2: --- Simple Value Vs Glamour Strategy / Chapter Chapter 3: --- Are Contrarian Investment Strategies Fundamentally Riskier ？ / Chapter Chapter 4: --- The Performance of the Mutual Fund Industry in Hong Kong / Chapter Chapter 5: --- Summary and Interpretation of the Findings References / References / Appendix: Tables and Diagrams

by Sun Wai-Lee. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves [74-76]). / APPROVAL --- p.II / ACKNOWLEDGMENTS --- p.III / ABSTRACT --- p.IV / TABLE OF CONTENT --- p.VI / LIST OF FIGURES --- p.IX / LIST OF TABLES --- p.X / Chapter CHAPTER I --- Introduction --- p.1 / Background --- p.1 / Organization of the paper --- p.2 / Relevance of the study to Hong Kong --- p.3 / Scope --- p.4 / Chapter CHAPTER II --- Red Chips and H Shares --- p.5 / Chapter Section 2.1: --- The characteristics of Red Chips and H Shares --- p.5 / Background --- p.5 / Sector Distribution --- p.9 / Price Earning (P/E) Ratio --- p.11 / Different Aspects of Red Chips and H Shares --- p.13 / Chapter Section 2.2: --- Red Chips --- p.15 / Background --- p.15 / The Hang Seng China-Affiliated Corporations Index (HSCCI) --- p.15 / Market Capitalization --- p.17 / Listing Methods --- p.19 / Main Features of Red Chips --- p.22 / Chapter Section 2.3: --- H Shares --- p.25 / Background --- p.25 / The Hang Seng China Enterprises Index (HSCEI) --- p.25 / Market Capitalization --- p.26 / Listing Aspects --- p.28 / Main Features of H Shares --- p.30 / Chapter CHAPTER III --- Risk and Return Characteristics --- p.31 / Chapter Section 3.1: --- Literature Review --- p.31 / Measurement of Risk --- p.31 / Chapter Section 3.2 --- Methodology --- p.37 / All Ordinaries Index --- p.38 / Data Collection and Empirical Work --- p.40 / Constraints --- p.40 / Chapter CHAPTER IV --- The Results --- p.41 / Chapter Section 4.1 --- Index Performance --- p.41 / Chapter Section 4.2 --- Findings on systematic risks --- p.43 / Comparison between Red Chips and H Shares --- p.43 / Individual Red Chips --- p.47 / Individual H Shares --- p.48 / Sectoral portfolios of Red Chips --- p.50 / Sectoral portfolios of H Shares --- p.53 / Chapter "Section 4,3 " --- Risk and Return Relationship --- p.54 / Chapter CHAPTER V --- Conclusions --- p.59 / RECOMMENDATIONS FOR FURTHER RESEARCH --- p.61 / APPENDICES / BIBLIOGRAPHY

published_or_final_version / abstract / toc / Economics and Finance / Master / Master of Philosophy

by Tong See Wai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 78-80). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Tables --- p.vii / List of Figures --- p.viii / Chapter 1. --- Introduction --- p.1 / Chapter 2. --- Background and Data --- p.5 / Chapter 2.1 --- Linkage between Hong Kong's real estate market and stock market --- p.5 / Chapter 2.2 --- Review of Hong Kong mortgage lending policy --- p.6 / Chapter 2.3 --- Corporate Profiles --- p.7 / Chapter 2.3.1 --- Cheung Kong (Holdings) Limited --- p.7 / Chapter 2.3.2 --- Hang Lung Development Company Limited --- p.7 / Chapter 2.3.3 --- Henderson Land Development Company Limited --- p.8 / Chapter 2.3.4 --- New World Development Company Limited --- p.8 / Chapter 2.3.5 --- Sino Land Company Limited --- p.8 / Chapter 2.3.6 --- Sun Hung Kai Properties Limited --- p.9 / Chapter 2.3.7 --- Swire Pacific Limited --- p.9 / Chapter 2.4 --- Sources of Data --- p.10 / Chapter 3. --- Literature Review --- p.12 / Chapter 4. --- Methodology --- p.17 / Chapter 4.1 --- Nominal Rate of Capital Gain --- p.17 / Chapter 4.2 --- Internal Rate of Return --- p.19 / Chapter 5. --- Results --- p.25 / Chapter 5.1 --- Empirical Findings --- p.25 / Chapter 5.1.1 --- Results from Aggregate Data --- p.25 / Correlations of Returns --- p.26 / Average Rate of Capital Gain --- p.26 / Chapter 5.1.2 --- Results from Disaggregated Data --- p.27 / Graphs --- p.27 / Correlations of Returns --- p.28 / Property Developers --- p.28 / Housing Estates --- p.28 / Testing the Significance of Correlation --- p.29 / Cross Correlation Matrix on Stock --- p.30 / Regression --- p.30 / Average Returns on Housing and Stock --- p.31 / Unleverage --- p.31 / Leverage --- p.31 / Comparison of the Average Unleveraged Return with the Average Leveraged Return --- p.31 / Housing --- p.31 / Stock --- p.32 / Comparison of the Average Return calculated from Aggregate Data with that calculated from Disaggregated Data --- p.32 / Housing --- p.32 / Stock --- p.33 / Chapter 5.2 --- Discussion --- p.33 / Chapter 5.2.1 --- Correlation of Returns --- p.33 / Chapter 5.2.2 --- Average Return --- p.35 / Chapter 5.2.3 --- Hedging --- p.39 / Chapter 6. --- Conclusion --- p.40 / Tables --- p.41 / Figures --- p.58 / References --- p.78

Kam Ying Chuen. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 81-83). / Abstracts in English and Chinese. / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Overview of Hong Kong Stock Market --- p.3 / Chapter 2.1 --- Stock Exchange of Hong Kong --- p.3 / Chapter 2.2 --- Hang Seng Index --- p.4 / Chapter 2.3 --- Influences of the United States --- p.5 / Chapter 2.4 --- Hong Kong Government's Intervention --- p.6 / Chapter 3 --- Literature Review --- p.8 / Chapter 3.1 --- Stable and Student t Distributions --- p.8 / Chapter 3.2 --- Generalized Distribution --- p.10 / Chapter 3.3 --- Socio-economic Model --- p.11 / Chapter 3.4 --- Extreme Value Analysis --- p.11 / Chapter 4 --- Methodology --- p.14 / Chapter 4.1 --- Homogeneous Model --- p.15 / Chapter 4.2 --- Inhomogeneous Model --- p.15 / Chapter 4.3 --- Model Validity --- p.16 / Chapter 4.3.1 --- Exceedance Rate --- p.17 / Chapter 4.3.2 --- Distribution of Excesses --- p.17 / Chapter 4.3.3 --- Independence --- p.18 / Chapter 5 --- Data --- p.19 / Chapter 5.1 --- Minute-by-minute Returns --- p.20 / Chapter 5.2 --- Daily returns --- p.21 / Chapter 5.3 --- Explanatory Variables for the Inhomogeneous Model --- p.21 / Chapter 6 --- Empirical Results: Minute-by-minute Returns --- p.24 / Chapter 6.1 --- Shape Parameter k --- p.24 / Chapter 6.2 --- Location Parameter μ --- p.25 / Chapter 6.3 --- Scale Parameter σ --- p.26 / Chapter 6.4 --- Conditional Scale Parameter ψ --- p.27 / Chapter 6.5 --- Specification Test --- p.29 / Chapter 7 --- Empirical Results: Daily Returns --- p.29 / Chapter 7.1 --- Homogeneous Model --- p.30 / Chapter 7.2 --- Inhomogeneous Model --- p.31 / Chapter 7.2.1 --- Constant Term --- p.32 / Chapter 7.2.2 --- Dow Jones Industrial Average Returns --- p.33 / Chapter 7.2.3 --- Volatility Indicators --- p.34 / Chapter 7.2.4 --- Monday Dummy --- p.35 / Chapter 7.2.5 --- Time Trend --- p.36 / Chapter 7.2.6 --- Duration Dummy --- p.37 / Chapter 7.2.7 --- Indicator for the Behavior of the Previous Trading Day --- p.38 / Chapter 8 --- Conclusion --- p.39

by Hu Wai Kwok, Li Siyi. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1997. / Includes bibliographical references (leaves 85-87). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF ILLUSTRATIONS --- p.v / LIST OF TABLES --- p.vi / ACKNOWLEDGEMENT --- p.vii / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Overview Of Fundamental Analysis --- p.1 / Valuation Approaches --- p.2 / Information Sources --- p.2 / Methodology --- p.2 / Chapter II. --- ANALYTICAL FRAMEWORK FOR COMMON STOCKS --- p.4 / Chapter III. --- ECONOMIC ANALYSIS --- p.5 / International And Domestic Economic Environment --- p.5 / Economic Forecasting --- p.6 / Chapter IV. --- INDUSTRY ANALYSIS --- p.9 / Industry Classification And Industry Life Cycle --- p.9 / The Economy And Industry Analysis --- p.10 / Porter's Five Competitive Forces --- p.11 / Industry Analysis Techniques --- p.12 / Information Sources For Industry Analysis --- p.13 / Chapter V. --- COMPANY ANALYSIS: MEASURING AND FORECASTING EARNINGS --- p.14 / Understanding The Financial Statements --- p.14 / Ratio Analysis --- p.15 / Influence of Accounting Practices --- p.17 / Capital Structure And Dividend Policy --- p.18 / Forecasting Earnings --- p.19 / Evaluation of The Management Strategy --- p.21 / Chapter VI. --- APPLIED VALUATION --- p.23 / Intrinsic Value Versus Market Price --- p.23 / Determination Of Intrinsic Value --- p.23 / Dividend Discount Models (DDM) --- p.23 / Free Cashflows To Equity Discount Models (FCFE) --- p.28 / Chapter VII. --- CASE STUDY --- p.31 / Company Background --- p.31 / Birth of Cheung Kong Infrastructure --- p.31 / The Restructuring --- p.31 / Business of CKl --- p.33 / Economic Analysis --- p.33 / China's Macroeconomic Environment --- p.34 / Regional Economic Conditions --- p.35 / Economic Forecasting --- p.37 / Industry Analysis --- p.37 / Industry Classification --- p.37 / The Economy And Industry Analysis --- p.38 / Industry Overview And Historical Performance --- p.38 / Porter's Five Forces --- p.43 / Industry Life Cycle --- p.45 / Hong Kong Construction Materials Industry --- p.46 / Company Analysis --- p.47 / CKI's Businesses --- p.47 / Company Strategy Analysis --- p.48 / Risk Factors --- p.50 / Financial And Operation Analysis --- p.51 / Forecasting And Valuation --- p.52 / Intrinsic Value vs. Market Price --- p.57 / Chapter VIII. --- SUMMARY --- p.59 / APPENDIX --- p.61 / BIBLIOGRAPHY --- p.85