A Study on the size anomaly in the Hong Kong stock market and its relation to seasonality.

• Other Authors: Mok, Wai Man Ronald.
• Format: Others
• Language: English
• Published: Chinese University of Hong Kong 1992
• Subjects: Stock exchanges; Stock exchanges > China > Hong Kong; Stocks > Prices; Stocks > Prices > China > Hong Kong; Rate of return; Rate of return > China > Hong Kong
• Online Access: http://library.cuhk.edu.hk/record=b5887159; http://repository.lib.cuhk.edu.hk/en/item/cuhk-318867

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