Profitability of momentum trading strategies: empirical evidence from Hong Kong.
Wu Hiu-fung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. === Includes bibliographical references (leaves 86-89). === Abstracts in English and Chinese. === Abstract --- p.i === Table of Contents --- p.iv === List of Tables --- p.iii === List of Figures --- p.iv === Chapter I. ---...
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| Format: | Others |
| Language: | English Chinese |
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2003
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| Online Access: | http://library.cuhk.edu.hk/record=b5891674 http://repository.lib.cuhk.edu.hk/en/item/cuhk-324364 |
| Summary: | Wu Hiu-fung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2003. === Includes bibliographical references (leaves 86-89). === Abstracts in English and Chinese. === Abstract --- p.i === Table of Contents --- p.iv === List of Tables --- p.iii === List of Figures --- p.iv === Chapter I. --- Introduction --- p.1 === Chapter II. --- Literature Review --- p.10 === Chapter A. --- Existence and Persistence of Momentum Profitability --- p.10 === Chapter B. --- Potential Sources of Momentum Profitability and Behavioral Models Explanations --- p.11 === Chapter C. --- Evaluations of Possible Explanations --- p.14 === Chapter III. --- Data and Methodology --- p.18 === Chapter A. --- Portfolio Formation --- p.18 === Chapter B. --- Risk-Adjusted Momentum Profits --- p.20 === Chapter 1. --- Capital Asset Pricing Model (CAPM) (Sharpe (1964) and Lintner (1965)) --- p.21 === Chapter 2. --- Fama and French Three-Factor Model (Fama and French (1996)) --- p.21 === Chapter 3. --- Chordia and Shivakumar Four-Factor Model (Chordia and Shivakumar (2001)) --- p.21 === Chapter C. --- Momentum Profitability and Firm Characteristics --- p.24 === Chapter D. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.28 === Chapter IV. --- Empirical Results --- p.30 === Chapter A. --- Momentum Profitability in the Hong Kong Stock Market --- p.30 === Chapter B. --- Profitability of Momentum Portfolios in Each Calendar Month --- p.33 === Chapter C. --- Properties of Momentum Portfolios --- p.34 === Chapter D. --- Risk- adjusted Return of the Zero-cost Momentum Portfolio --- p.36 === Chapter E. --- Long-run Profitability of Momentum Portfolios --- p.37 === Chapter F. --- Momentum Profitability and Firm Characteristics --- p.42 === Chapter 1. --- Momentum Profitability and Firm Size --- p.42 === Chapter 2. --- Momentum Profitability and Book-to-market Ratio --- p.44 === Chapter 3. --- Momentum Profitability and Trading Volume --- p.45 === Chapter 4. --- Momentum Profitability and Stock Price --- p.46 === Chapter 5. --- Momentum Profitability and Industry Classifications --- p.46 === Chapter 6. --- Momentum Profitability and Analyst Coverage --- p.48 === Chapter 7. --- "Momentum Profitability, Firm Size and Book-to-market Ratio" --- p.49 === Chapter 8. --- "Momentum Profitability, Firm Size and Trading Volume" --- p.50 === Chapter 9. --- "Momentum Profitability, Book-to-market Ratio and Trading Volume" --- p.51 === Chapter 10. --- "Momentum Profitability, Firm Size and Analyst Coverage" --- p.52 === Chapter 11. --- "Momentum Profitability, Book-to-market and Analyst Coverage" --- p.52 === Chapter G. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.53 === Chapter V. --- Conclusion --- p.57 === Reference --- p.86 |
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