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Xu, Lin. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 128-131). / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstract also in Chinese.

Zhang, Wanqing. / Leaf 138 numbered in duplicate. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (leaves 138-143). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Table of Content --- p.iv / List of Tables --- p.vi / List of Figures / Chapter Chapter 1: --- Introduction --- p.1 / Chapter 1.1 --- An Overview of the Tourism Industry --- p.1 / Chapter 1.2 --- Research Motivation --- p.3 / Chapter 1.3 --- Outline --- p.8 / Chapter Chapter 2： --- Literature Review --- p.9 / Chapter Chapter 3： --- The Data and Methodology --- p.14 / Chapter 3.1 --- Dataset --- p.14 / Chapter 3.2 --- Methodology --- p.21 / Chapter Chapter 4： --- Empirical Evidence For Tourism Industry --- p.25 / Chapter 4.1 --- Hypothesis --- p.26 / Chapter 4.2 --- Evidence for the tourism stocks --- p.27 / Chapter 4.3 --- Decomposition of Returns --- p.42 / Chapter 4.4 --- Seasonality --- p.52 / Chapter Chapter 5： --- Empirical Evidence For The Market --- p.56 / Chapter 5.1 --- Momentum and reversal effect in general market --- p.57 / Chapter 5.1.1 --- Profitability and Return Performance --- p.57 / Chapter 5.1.2 --- Seasonality --- p.66 / Chapter 5.2 --- Tourism industry vs. General market --- p.70 / Chapter Chapter 6： --- Explaining The Momentum And Reversal Effect: Capital Asset Pricing Model --- p.73 / Chapter 6.1 --- Capmand three-factor model --- p.74 / Chapter 6.2 --- Evidence from tourism stocks --- p.86 / Chapter Chapter 7： --- Explaining The Momentum And Reversal Effect: Fundamentals --- p.92 / Chapter 7.1 --- Movements in fundamentals --- p.95 / Chapter 7.1.1 --- Fundamental hypothesis --- p.95 / Chapter 7.12 --- Movement in profits --- p.96 / Chapter 7.2 --- Using Logit Model To Explore Differences Between The Winner And The Loser Portfolio --- p.108 / Chapter 7.2.1 --- Induction of a binary choice approach- logit regression model --- p.108 / Chapter 7.2.2 --- MODEL I: Using changes in ROA --- p.113 / Chapter 7.2.3 --- MODEL II: Using coded Ret-ROA --- p.115 / Chapter 7.2.4 --- MODEL III: Multi-variable logistic regression --- p.118 / Chapter Chapter 8: --- The Price Impact Of Institutional Investors To Tourism Stocks --- p.120 / Chapter 8.1 --- Changes of institutional ownership in tourism stocks --- p.122 / Chapter 8.2 --- Regression Results --- p.126 / Chapter Chapter 9: --- Conclusion --- p.132 / Reference --- p.138

The purpose of this paper is to investigate the effect of the "limits of arbitrage" on securities mispricing. Specifically, I investigate the effect of the availability of substitutes and financial constraints on stock mispricing. In addition, this study investigates the difference in the limits of arbitrage, in the sense that it will lead to lower mispricing for these stocks, relative to non-S&P 500 stocks. I also examine if the lower mispricing can be attributed to their lower limits of arbitrage. Modern finance theory and efficient market hypothesis suggest that security prices, at equilibrium, should reflect their fundamental value. If the market price deviates from the intrinsic value, then a risk-free profit opportunity has emerged and arbitrageurs will eliminate mispricing and equilibrium is restored. This arbitrage process is characterized by large number of arbitrageurs which have infinite access to capital. However, a better description of reality is that there are few numbers of arbitrageurs to the extent that they are highly specialized; and they have limited access to capital. Under these condition arbitrage is no more a risk-free activity and can be limited by several factors such as arbitrage risk and transaction costs. Other factors that are discussed in the literature are availability of substitutes and financial constraints. The former arises as a result of the specialization of arbitrageurs in the market in which they operate, while the latter arises as a result of the separation between arbitrageurs and capital. In this dissertation, I develop a measure of the availability of substitutes that is based on the propensity scores obtained from propensity score matching technique. In addition, I use the absolute value of skewness of returns as a proxy of financial constraints. Previous studies used the limits of arbitrage framework to explain pricing puzzles such as the closed-end fund discounts. However, closed-end fund discounts are highly affected by uncertainty of managerial ability and agency problems. This study overcomes this problem by studying the effect of limits of arbitrage on publicly traded securities. The results show that there is a significant relationship between proxies of limits of arbitrage and firm specific mispricing. More importantly, empirical results indicate that stocks that have no close substitutes have higher mispricing. In addition, stocks that have high skewness show higher mispricing. Subsequent studies show that the S&P 500 stocks have different levels of liquidity, analysts’ coverage and volatility. These characteristics affect the ability of arbitrageurs to eliminate mispricing. Preliminary univariate tests show that S&P 500 stocks have, on average, lower mispricing and limits of arbitrage relative to non-S&P 500 stocks. In addition, the multivariate test shows that S&P 500 members have, on average, lower mispricing relative to non-S&P 500 stocks.

This dissertation examines the reaction of common stock prices to the announcement of changes in bond ratings by Moody's Bond Service, while having a control for differential information availability. The Institutional Brokers Estimate System (I/B/E/S) number of security analysts and coefficient of variation of earning per share (EPS) estimates are used as a proxy for information availability of the firms. Past studies differs in their conclusions as to whether the market has responded to announcement of bond rating changes. None of past studies have controlled for differential information availability. This study, using daily stock returns data and the event study methodology with the statistical test, finds that while the sample of rating downgrades exhibit significantly negative abnormal price effect during the announcement period, the magnitude of this effect is significantly higher for firms with low information availability. For the rating upgrades, the sample as a whole has no abnormal announcement period returns, but the sample of firms with lower information earns significantly positive abnormal returns. This study provides support for the hypothesis that the announcement effect of bond-rating changes is conditional on the information available about the firm.

In the first part of thesis, we investigated the influence and explanatory power of aggregate insider trading activities on momentum trading strategies in US stock markets. We find that aggregate insider trading activities have ability in predicting cross-sectional returns and can strengthen the naive momentum effects. The risk factors such as size and book-to-market ratio cannot explain the strong momentum effects in our refined momentum strategies. We further extend the time horizon to as long as 3 years and find that the reversal patterns. We interpret our findings as follows: The continuous overreaction causes the mediate term (3- to 12 months) momentum effects and overly pricing. In long-term horizon, these overly priced stocks will be corrected with the time passing. The correction of overly pricing causes long-term reversals. / In the second part of the thesis, we studied relationships between the efficiency of external market and the capital allocation processes in internal market by investigating the performance of red chips traded in Hong Kong. Because of its special role between China and international capital market, it is difficult for international investors to monitor how red chips allocated their Hong Kong raised capital in China. The evidences show that red chips made poor investments in the past decades. However, the external market failed to reflect the unprofitable investment made by the management groups in the internal market. At least, our evidences show that the red chips made diversified but unprofitable investments in aggregate level in the past decade. / Jihong Xiang. / "December 2001." / Source: Dissertation Abstracts International, Volume: 63-01, Section: A, page: 0306. / Supervisors: Jia He; Duan Li. / Thesis (Ph.D.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (p.102-113). / Available also through the Internet via ProQuest dissertations and theses under title: Are markets efficient? Evidences from stock markets in United States of America and Hong Kong. / Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web. / Abstracts in English and Chinese. / School code: 1307.

Wong, Kin Lung Keith. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2010. / Includes bibliographical references (p. 127-131). / Abstracts in English and Chinese. / Abstract --- p.i / Thesis/Assessment Committee --- p.iii / Acknowledgement --- p.iv / Chapter 1 --- Introduction --- p.1 / Chapter 2 --- Background Studies --- p.5 / Chapter 2.1 --- Ultra-high Frequency Data Handling with Database Server --- p.5 / Chapter 2.1.1 --- Use of Database Server --- p.5 / Chapter 2.2 --- Ultra-high Frequency Data Treatments --- p.7 / Chapter 2.2.1 --- Cleaning of Data --- p.7 / Chapter 2.2.2 --- Matching of a Trade and Its Standing Quote --- p.13 / Chapter 2.3 --- Tick-by-tick Price Modeling --- p.15 / Chapter 2.3.1 --- Multivariate Linear Models --- p.15 / Chapter 2.3.2 --- Duration and Volume Handling --- p.16 / Chapter 2.3.3 --- VAR Model Selection Techniques --- p.20 / Chapter 2.3.4 --- Seasonality Handling --- p.24 / Chapter 3 --- Problem Definition and Framework --- p.27 / Chapter 3.1 --- Engle and Patton's Model --- p.27 / Chapter 3.2 --- Preparation of data --- p.31 / Chapter 3.3 --- Methods to Estimate Diurnal Adjustment Param- eters --- p.38 / Chapter 3.4 --- Transformation of the Model to Fit in VARX soft- wares --- p.40 / Chapter 3.5 --- Modification of the Model --- p.47 / Chapter 3.6 --- Estimating and Forecasting the Exogenous Vari- ables --- p.52 / Chapter 3.6.1 --- Modelling BUYt and SELLt --- p.52 / Chapter 3.6.2 --- Modelling DURt and VOLt --- p.53 / Chapter 3.6.3 --- Modelling k(t) --- p.56 / Chapter 3.6.4 --- Forecasting the Cross Terms and the Sum of Buys and Sells --- p.62 / Chapter 3.7 --- Forecasting with the Main Model --- p.64 / Chapter 4 --- Experimental Evaluation --- p.67 / Chapter 5 --- Conclusion --- p.73 / Chapter A --- Source and Data Information --- p.76 / Chapter B --- Model Estimation Results for (3.13) --- p.80 / Chapter C --- Model Forecasting Results for (3.13) and (3.2) --- p.102 / Bibliography --- p.127

The Securities and Exchange Conunission (1974) has stated that the one of the fundamental underpinnings of federal securities law is the external auditor opinion of registrant financial statements. The SEC believes that the corporate practice of voluntary auditor change may be perceived by the investing public as attempted opinion shopping. The monitoring hypothesis of Jensen and Meckling (1976), on the other hand, posits that companies may change auditors in an attempt to control net agency costs. The objective of this dissertation is determine if the monitoring hypothesis is descriptive of the phenomenon of voluntary auditor change. The monitoring hypothesis posits that changes in net agency costs are related to the change in auditor quality at the time of an auditor change. and that both changes in agency costs and change in auditor quality are related to the market reaction to the auditor change. Auditor changes from 1980 to 1986 for New York Stock Exchange and American Stock Exchange companies were analyzed. The results indicate that changes in agency costs are related to change in auditor quality, as measured by the difference, from the old auditor to the new, in the auditor's share of the industry audit fees for the company that is changing auditors. Significant variables that measure changes in agency costs aregrowth in company sales, change in long-term compensation plans, and change in the dividend payout ratio. The results also indicate that changes in agency costs are related to market reaction to a change in auditors, but that the change in auditor quality is not. Variables that are significant in explaining the relationship are change in the debt ratio, change in the holdings of the largest stockholder, and prior receipt of a qualified opinion or disclosure of a disagreement between the company and the previous auditor. The results provide strong support for the monitoring hypothesis and weak support for the opinion shopping hypothesis. / Ph. D.

Su Qian. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 66-70). / Abstracts in English and Chinese. / Abstract --- p."i,ii" / Acknowledgements --- p.iii / Table of Content --- p.iv / List of Tables and Figures --- p.v / List of Abbreviation --- p.vi / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter 2.1 --- Benefits of Cross-listing --- p.4 / Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8 / Chapter 2.3 --- Previous studies on Chinese cross-listed stocks --- p.2 / Chapter Chapter 3. --- China Overseas Listing --- p.15 / Chapter 3.1 --- The history of overseas listing --- p.15 / Chapter 3.2 --- Methods of overseas listing --- p.17 / Chapter 3.3 --- The motivation for Chinese firms to list overseas --- p.18 / Chapter 3.4 --- The prospects of China Overseas listing --- p.21 / Chapter Chapter 4. --- Price-discovery contributions to China-backed stocks cross-listed on SEHK and NYSE --- p.23 / Chapter 4.1 --- Data --- p.23 / Chapter 4.2 --- Methodology --- p.25 / Chapter 4.3 --- Empirical Results and Interpretation --- p.31 / Chapter 4.4 --- Cross-Sectional analysis of NYSE contributions to the price-discovery process --- p.40 / Chapter Chapter 5. --- Price-discovery contributions to the cross-listed H share and A share --- p.45 / Chapter 5.1 --- Data and Sample details --- p.46 / Chapter 5.2 --- Methodology --- p.49 / Chapter 5.3 --- Empirical results and interpretation --- p.54 / Chapter 5.4 --- A brief analysis of cointegration determinants --- p.57 / Chapter 5.5 --- The cointegration between H share and A share- Daily analysis --- p.61 / Chapter Chapter 6. --- Conclusion --- p.64 / Reference --- p.66 / Tables --- p.71

The purpose of this study was to determine whether publicly disclosed violations by U.S corporations, resulting in convictions or settlements, erode shareholder investment in the offending organizations. This study was designed to assess whether or not the shareholders' reactions to corporations' violations were related to a decline in organizations' stock valuations across sectors. In addition, this study attempted to assess whether or not shareholder support, expressed by stock prices, declined more after a corporation was prosecuted or reached a settlement for violations, as compared to corporations that disclosed earnings disappointments. Also, this study investigated the stock prices of violating corporations compared to the non-offending corporations from within the same business sector, as well as considered the percentage decline for repeat offenders for violation two compared to violation one. Opposite to hypothesis, results showed that stock prices for the violating companies were significantly greater 12 months after the violation compared to the other months and no significant differences in percent decline between the eight sectors on any of the five decline measures. There were also no differences between violating companies and their matched companies. Companies with a violation had significantly greater stock prices overall than those without a violation.