by Chan Chun-hung Benjamin. / Thesis (M.B.A.)--Chinese University of Hong Kong, 1991. / Bibliography: leaves 103-105. / ACKNOWLEDGMENT --- p.i / ABSTRACT --- p.ii / TABLE OF CONTENT --- p.iv / LIST OF TABLE --- p.vii / CHAPTER / Chapter I --- INTRODUCTION --- p.1 / Chapter II --- "THE THEORETICAL FOUNDATION OF THE CAPITAL ASSET PRICING MODEL, CAPM" --- p.3 / Chapter III --- THE THEORETICAL FOUNDATION OF THE ARBITRAGE PRICING THEORY --- p.5 / Chapter IV --- REVIEWS ON THE PREVIOUS STUDIES ON THE ARBITRAGE PRICING THEORY --- p.9 / Tests for Identification of the Number of Factors --- p.10 / Studies Supporting the APT --- p.10 / Roll and Ross [1980] --- p.10 / Chen [1983] --- p.12 / Pari and Chen [1984] --- p.13 / Chang and Lewellen [1985] --- p.15 / Studies Opposing the APT --- p.17 / Shanken [1982] --- p.17 / "Dhrymes, Friend and Gultekins [1985]" --- p.17 / The Gultekins [1987] --- p.18 / Test for Identification of Economic Factors --- p.20 / "Chen, Roll and Ross [1986]" --- p.20 / Burmeister and Wall [1986] --- p.26 / Sweeney and Warga [1986] --- p.27 / Beenstock and Chan [1988] --- p.28 / Chapter V --- THE FOUNDATION AND OBJECTIVE OF THE STUDY --- p.30 / Chapter VI --- THE PROPOSITION OF POTENTIAL FACTORS --- p.35 / The Rationale and Criteria of the Proposition --- p.35 / Descriptions of the Proposed Factors --- p.38 / Industrial Production (PI) --- p.38 / Industrial Production of Major Trading Partners --- p.39 / Exchange Rate (EERI) --- p.39 / Confidence Level of the Investors in Hong Kong --- p.41 / The Inflation Rate (CPI) --- p.42 / Interest Rate and Term Structure --- p.43 / Foreign Stock Market Performance --- p.44 / Chapter VII --- STATISTICAL CHARACTERISTICS OF THE POTENTIAL FACTORS --- p.45 / Intercorrelations of the Factors --- p.45 / Autocorrelations of the Factors --- p.47 / Chapter VIII --- METHODOLOGY --- p.50 / Phrase One: The Test on the CAPM Model --- p.50 / Phrase Two: The Test on the APT model with the Identification of Relevant Factors --- p.52 / Phrase Three: Test of the CAPM Residual --- p.55 / Chapter IX --- BASIC RESULTS AND INTERPRETATIONS --- p.57 / Phrase One: The Test on the CAPM Model --- p.57 / Beta Coefficient --- p.58 / "Statistical Significance, R2" --- p.60 / The Intercept Constant --- p.62 / Phrase Two: The Test on the APT Model --- p.64 / The Relevant Factors and the Betas --- p.64 / Financial Sector --- p.65 / Utilities Index --- p.65 / Properties Index --- p.67 / Hotels Index --- p.68 / Industrials Index --- p.69 / "Improvement in the Significance, R2" --- p.70 / The Intercept Constant --- p.72 / Phrase Three : Test of the Residuals of CAPM --- p.74 / Chapter X --- CONCLUSION --- p.76 / Chapter XI --- LIMITATIONS AND FURTHER IMPROVEMENTS --- p.79 / APPENDICES / Chapter I --- The Constituent Stocks of the Hong Kong Index As of April1990 --- p.83 / Chapter II --- Autocorrelations of the Sectorial Indices and Potential Factors --- p.85 / Chapter III --- Output of Regression on Sectorial Returns with Returns on Market Portfolio (HKI) as Independent Variable --- p.96 / Chapter IV --- Output of Regression (Stepwise) on Sectorial Returns with Factors as Independent Variables --- p.98 / Chapter V --- Output of Regression (Stepwise) on Residual Variances of Sectorial Indices (CAPM) with Factors as Independent Variables --- p.101 / BIBLIOGRAPHY --- p.103
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_318679 |
| Date | January 1991 |
| Contributors | Chan, Chun-hung., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Publisher | Chinese University of Hong Kong |
| Source Sets | The Chinese University of Hong Kong |
| Language | English |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, vii, 105 leaves : ill. ; 30 cm. |
| Coverage | China, Hong Kong, China, Hong Kong |
| Rights | Use of this resource is governed by the terms and conditions of the Creative Commons “Attribution-NonCommercial-NoDerivatives 4.0 International” License (http://creativecommons.org/licenses/by-nc-nd/4.0/) |
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