Xu Zhi. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 61-62 (2nd gp.)). / Abstracts in English and Chinese. / ABSTRACT --- p.II / 中文摘要 --- p.V / ACKNOWLEDGEMENT --- p.XI / Chapter CHAPTER 1 --- INTRODUCTION --- p.1 / Chapter CHAPTER 2 --- VALUE OR GROWTH STOCK? --- p.6 / Chapter 2.1 --- Summary Statistics: Financial Ratios of h Shares --- p.7 / Chapter 2.1.1 --- Profitability analysis --- p.7 / Chapter 2.1.2 --- Debt Structure --- p.9 / Chapter 2.1.3 --- Operational Management --- p.11 / Chapter 2.2 --- Corporate Identity: Value or Growth Stock? --- p.11 / Chapter 2.2.1 --- Are H Shares Value Stocks? --- p.12 / Chapter 2.2.2 --- Are H Shares Growth Stocks? --- p.12 / Chapter 2.3 --- Summary --- p.13 / Chapter CHAPTER 3 --- THE METHODOLOGY OF EVENT STUDIES --- p.14 / Chapter 3.1 --- Brief Outline of an Event Study --- p.15 / Chapter 3.2 --- Issues on Event Studies --- p.17 / Chapter 3.2.1 --- Unknown Event Dates --- p.17 / Chapter 3.2.2 --- Which is the best benchmark model for the normal return? --- p.18 / Chapter 3.2.3 --- Hypothesis testing and problems with heteroskedasticity and dependence --- p.21 / Chapter 3.2.4 --- A multivariate regression model (MVRM) employed in the event study --- p.24 / Chapter 3.2.5 --- Measuring long horizon security price performance --- p.26 / Chapter 3.2.6 --- Use daily return or monthly return in event study? --- p.27 / Chapter CHAPTER 4 --- ARE H SHARES WANTED: DEAD OR ALIVE? --- p.28 / Chapter 4.1 --- Definitions of Events --- p.28 / Chapter 4.2 --- Sample and Estimation Procedures --- p.30 / Chapter 4.2.1 --- Sample Selection --- p.30 / Chapter 4.2.2 --- Estimation Procedures --- p.30 / Chapter 4.3 --- Empirical Results of Good and Bad Earnings Announcements --- p.31 / Chapter 4.3.1 --- Short Term Effects on Securities Prices --- p.31 / Chapter 4.3.2 --- Long Term Post-Earnings-Announcement Drifts --- p.34 / Chapter 4.3.3 --- Regression Analysis --- p.35 / Chapter 4.3.3.1 --- REGRESSION RESULTS FOR GOOD EARNINGS ANNOUNCEMENTS --- p.37 / Chapter 4.3.3.2 --- REGRESSION RESULTS FOR BAD EARNINGS ANNOUNCEMENTS --- p.38 / Chapter 4.3.4 --- Summary --- p.39 / Chapter 4.4 --- Empirical Results of Good and Bad News --- p.40 / Chapter 4.5 --- "Empirical Results of SEO, M&A and New Projects" --- p.41 / Chapter 4.5.1 --- Summary --- p.42 / Chapter CHAPTER 5 --- A PRACTICAL CORPORATE GOVERNANCE FOR H SHARES --- p.43 / Chapter 5.1 --- Problems Corporate Governance Deals with --- p.45 / Chapter 5.1.1 --- The Agency Problem --- p.45 / Chapter 5.1.2 --- Management Discretion --- p.46 / Chapter 5.2 --- Solutions to the Problems --- p.46 / Chapter 5.2.1 --- Incentive Contracts --- p.46 / Chapter 5.2.2 --- Large Investors --- p.47 / Chapter 5.2.3 --- Debt Choice --- p.49 / Chapter 5.3 --- Corporate Governance for H Shares: a Practical Framework --- p.50 / Chapter 5.3.1 --- Essential Elements of Good Corporate Governance --- p.51 / Chapter 5.3.2 --- Summary : A Practical Framework of Good Corporate Governance --- p.53 / Chapter CHAPTER 6 --- CONCLUSIONS --- p.58 / REFERENCE --- p.61 / APPENDIX OF TABLES --- p.63 / APPENDIX OF FIGURES --- p.64

published_or_final_version / Economics / Master / Master of Social Sciences

published_or_final_version / Statistics / Doctoral / Doctor of Philosophy

published_or_final_version / Business Administration / Master / Master of Business Administration

published_or_final_version / Business Administration / Master / Master of Business Administration

by Chan Kin Man, Eric, Ng Man Leung, Alfred, Poon Man Ching, Daniel. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1989. / Bibliography: leaves [113]-[115].

by Chan Chi-man, Simon. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaves [5]-[8] (2nd group)). / ACKNOWLEDGMENTS --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / LIST OF FIGURES --- p.vii / LIST OF TABLES --- p.viii / Chapter CHAPTER I. --- INTRODUCTION --- p.1 / Background --- p.1 / Objectives --- p.3 / Scope --- p.5 / Organization of the Paper --- p.6 / Chapter CHAPTER II. --- THE HONG KONG STOCK MARKET - QUANTIFYING ITS CHARACTERISTICS --- p.7 / Introduction --- p.7 / Choice of Proxy for the Market --- p.9 / Hong Kong in the Asian Pacific Region --- p.11 / Choice of Benchmarks for Comparisons --- p.12 / Comparative Returns and Standard Deviations --- p.13 / Correlations Amongst Different Markets --- p.16 / Comparative Price to Earnings (P/E) Ratios --- p.18 / Market Liquidity --- p.19 / Market Concentration --- p.20 / Summary --- p.21 / Chapter CHAPTER III. --- PRICING OF RISKY ASSETS IN HONG KONG --- p.23 / Introduction --- p.23 / Applicability of Pricing Models in the Hong Kong Stock Market --- p.23 / Literature Review --- p.23 / CAPM --- p.28 / The model --- p.28 / Hypotheses to be tested --- p.29 / Data --- p.30 / Methodology --- p.30 / Portfolio construction --- p.30 / Variable estimation --- p.31 / Cross-sectional regressions --- p.31 / Results and discussions --- p.32 / Stability of Beta --- p.34 / APT --- p.37 / Introduction --- p.37 / Analysis --- p.38 / Chapter CHAPTER IV. --- THE EFFICIENCY AND ANOMALIES OF THE HONG KONG STOCK / MARKET --- p.51 / Market Efficiency --- p.51 / Introduction --- p.51 / Informational Efficiency --- p.51 / Forms of market efficiency --- p.52 / Empirical evidence in Hong Kong --- p.53 / Historical prices --- p.53 / Investment advisory --- p.54 / Government budget speeches --- p.55 / Takeover --- p.55 / Conclusions --- p.55 / Anomalies --- p.56 / Introduction --- p.56 / An Exercise on PBV --- p.57 / Summary --- p.58 / Chapter CHAPTER V. --- POLITICAL INFLUENCE AND THE STOCK MARKET --- p.59 / Introduction --- p.59 / Literature Review --- p.60 / Political Risk in Hong Kong --- p.61 / Conclusion --- p.64 / Chapter CHAPTER VI. --- DIVERSIFICATION --- p.65 / Introduction --- p.65 / Literature Review --- p.65 / Does International Diversification Work --- p.67 / Conclusion --- p.72 / Chapter CHAPTER VII. --- CONCLUSIONS --- p.73 / What Moves Stock Prices? --- p.74 / Is the Stock Market Overreacting? --- p.75 / Some Suggestions --- p.76 / APPENDICES / BIBLIOGRAPHY

by Chan Po-ki, Annie. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1993. / Includes bibliographical references (leaf 107). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iii / LIST OF TABLES --- p.v / LIST OF ILLUSTRATIONS --- p.vi / LIST OF APPENDICES --- p.viii / ACKNOWLEDGEMENTS --- p.ix / Chapter / Chapter I. --- INTRODUCTION / Prologue --- p.1 / Purpose of Study --- p.2 / Scope of Study --- p.2 / Organization of Paper --- p.3 / Limitations of Study --- p.3 / Chapter II. --- THE HONG KONG STOCK MARKET / Development of the Stock Market --- p.5 / The Hang Seng Index --- p.9 / Role and Importance of the Stock Market --- p.10 / Characteristics of the Stock Market --- p.10 / Chapter III. --- THEORETICAL CONCEPTS AND FRAMEWORK OF ANALYSIS / Efficient Markets Theory --- p.12 / Random Walk Theory --- p.13 / Investment Strategies --- p.14 / Passive Strategy --- p.14 / Active Strategy --- p.14 / Market Analysis --- p.15 / The Fundamental School --- p.15 / The Technical School --- p.16 / Implications of Random Walk for Technical and Fundamental Analysis --- p.18 / Seasonality --- p.19 / Chapter IV. --- SEASONALITY IN THE HONG KONG STOCK MARKET / Introduction --- p.21 / Research Design --- p.21 / The Hang Seng Index --- p.21 / The Sub-Index --- p.22 / Individual Stocks in Sub-Index --- p.25 / Data Analysis and Findings --- p.26 / Discussions --- p.36 / Chapter V. --- IMPLICATIONS ON TRADING STRATEGIES / Introduction --- p.39 / Research Design --- p.39 / Trading Strategies Hypothesized --- p.39 / Interest on Cash Deposit --- p.40 / Dimensions of Comparison --- p.42 / Data Analysis and Findings --- p.44 / "Comparison One - One Stock, One Year" --- p.44 / "Comparison Two - One Stock, Ten Years" --- p.57 / "Comparison Three - Portfolio, One Year" --- p.60 / "Comparison Four - Portfolio, Ten Year" --- p.65 / Chapter VI. --- SUMMARY AND CONCLUSION --- p.68 / APPENDIX --- p.70 / BIBLIOGRAPHY --- p.107

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