Zhang Minye. / Thesis submitted in: November 2002. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. / Includes bibliographical references (leaves 148-152). / Abstracts in English and Chinese. / Chapter CHAPTER 1: --- INTRODUCTION --- p.1 / Chapter 1.1 --- Overview --- p.1 / Chapter 1.2 --- Thesis Outline --- p.7 / Chapter CHAPTER2: --- TOURISM INDUSTRY AND TOURISM STOCKS --- p.9 / Chapter 2.1 --- Definitions --- p.9 / Chapter 2.2 --- Tourism Industry and Stocks in the U.S --- p.10 / Chapter 2.2.1 --- Introduction --- p.10 / Chapter 2.2.3 --- Financial Problems --- p.14 / Chapter 2.3 --- Mean-Variance Analysis and Fama-French Three- Factor Risk-adjusted Performance of Tourism Stocks in the U.S. (From 1990 to 2000) --- p.17 / Chapter 2.3.1 --- The Comparison between Tourism Stocks and Market Portfolio in the U.S --- p.18 / Chapter 2.3.2 --- Fama-French Three-factor Regression and Risk-adjusted Performance --- p.22 / Chapter 2.3.3 --- Explanations of High Systematic Risk and undervalued performance in Tourism Industry and Tourism Stocks --- p.27 / Chapter CHAPTER3: --- LITERATURE REVIEW --- p.31 / Chapter 3.1 --- Anomalies in average stock returns and Fama- French three-factor model --- p.31 / Chapter 3.2 --- Explanations for predictability of stock returnsin different horizons --- p.34 / Chapter 3.3 --- "Literature related to past trading volume, past earnings data, firm size, and industry effect" --- p.40 / Chapter CHAPTER 4: --- MOTIVATIONS AND RESEARCH QUESTIONS --- p.44 / Chapter 4.1 --- Motivations --- p.44 / Chapter 4.2 --- Research Questions --- p.48 / Chapter 4.3 --- Hypotheses --- p.51 / Chapter CHAPTER 5: --- RESEARCH METHODOLOGY AND RESULTS --- p.57 / Chapter 5.1 --- Research Methodology --- p.57 / Chapter 5.1.1 --- Samples and Data Selection --- p.57 / Chapter 5.1.2 --- Research Design --- p.58 / Chapter 5.1.3 --- Summary Statistics of Price and Earning Strategies --- p.62 / Chapter 5.2 --- Results for Short-term Price Contrarian Strategies --- p.65 / Chapter 5.2.1 --- Price Contrarian Strategies for Tourism Portfolio and Market Portfolio --- p.66 / Chapter 5.2.2 --- Volume-Based Price Contrarian Strategy for Tourism Portfolio and Market Portfolio --- p.68 / Chapter 5.2.3 --- Size-Based Price Contrarian Strategy for Tourism Portfolio and Market Portfolio --- p.72 / Chapter 5.2.5 --- Lead-lag Hypothesis --- p.78 / Chapter 5.2.6 --- Section Summary --- p.85 / Chapter 5.3 --- Results for Intermediate- and Long-term Price Momentum and Contrarian Strategies --- p.87 / Chapter 5.3.1 --- Basic Price and Earning Momentum Strategies for Tourism Portfolio and Market Portfolio --- p.89 / Chapter A. --- Price Momentum and Overreaction Hypothesis --- p.89 / Chapter B. --- Earning Momentum and underreaction hypothesis --- p.96 / Chapter C. --- Subsection summary --- p.100 / Chapter 5.3.2 --- Volume-Based Price and Earning Momentum Strategies for Tourism Portfolio and Market Portfolio --- p.105 / Chapter A. --- Volume-Based Price Momentum --- p.105 / Chapter B. --- Volume-Based Earning Momentum --- p.111 / Chapter C. --- Subsection summary --- p.115 / Chapter 5.3.3 --- Size-Based Price and Earning Momentum Strategy for Tourism Portfolio and Market Portfolio --- p.116 / Chapter A. --- Size-Based Price Momentum --- p.116 / Chapter B. --- Size-Based Earning Momentum --- p.121 / Chapter C. --- Subsection summary --- p.125 / Chapter 5.3.4 --- Returns of Risk-Adjusted Momentum Strategies for Tourism Portfolio --- p.127 / Chapter 5.3.5 --- Section Summary --- p.130 / Chapter CHAPTER 6: --- CONCLUSIONS --- p.133 / Chapter A. --- Main Results and Discussions --- p.133 / Chapter B. --- Contributions and Suggestions --- p.143 / Chapter C. --- Limitations and Future Research --- p.146 / REFERENCES --- p.148 / APPENDIX --- p.153 / Appendix 1： Tourism Industry SIC Code Description --- p.153 / Appendix 2： Tourism Stock Sample List --- p.156
| Identifer | oai:union.ndltd.org:cuhk.edu.hk/oai:cuhk-dr:cuhk_324461 |
| Date | January 2003 |
| Contributors | Zhang, Minye., Chinese University of Hong Kong Graduate School. Division of Business Administration. |
| Source Sets | The Chinese University of Hong Kong |
| Language | English, Chinese |
| Detected Language | English |
| Type | Text, bibliography |
| Format | print, v, 168 leaves : ill. ; 30 cm. |
| Coverage | United States, United States |
| 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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