Analysts forecast dispersion and stock returns in Hong Kong.
Hung, Chun Man. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 71-74). === Abstracts in English and Chinese. === Abstract --- p.i === 摘要 --- p.ii === Acknowledgement --- p.iii === Table of Content --- p.iv === Chapter 1. --- Introduct...
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| Format: | Others |
| Language: | English Chinese |
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2008
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| Online Access: | http://library.cuhk.edu.hk/record=b5896824 http://repository.lib.cuhk.edu.hk/en/item/cuhk-326358 |
| Summary: | Hung, Chun Man. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 71-74). === Abstracts in English and Chinese. === Abstract --- p.i === 摘要 --- p.ii === Acknowledgement --- p.iii === Table of Content --- p.iv === Chapter 1. --- Introduction --- p.1 === Chapter 1.1 --- Hong Kong securities market background --- p.2 === Chapter 1.2 --- Purpose and brief results --- p.4 === Chapter 1.3 --- Organization of the paper --- p.5 === Chapter 2. --- Literature Review --- p.6 === Chapter 2.1 --- Theoretical Studies --- p.6 === Chapter 2.2 --- Empirical Studies --- p.8 === Chapter 3. --- Methodology --- p.14 === Chapter 3.1 --- Hypothesis development --- p.14 === Chapter 3.2 --- Data and Sample Characteristics --- p.16 === Chapter 3.3 --- Sample selection rules --- p.17 === Chapter 3.4 --- Variables definitions --- p.19 === Chapter 3.5 --- Estimation of market betas (pre-ranking and post-ranking) --- p.23 === Chapter 3.5.1 --- Betas estimation procedure --- p.23 === Chapter 3.5.2 --- Results and findings --- p.25 === Chapter 4. --- Size- Dispersion Portfolio Strategy --- p.27 === Chapter 4.1 --- Formation of size-beta portfolio --- p.27 === Chapter 4.2 --- Results and findings --- p.28 === Chapter 5. --- Fama-MacBeth cross-sectional regressions --- p.32 === Chapter 5.1 --- Relation between dispersion and other firm characteristics --- p.32 === Chapter 5.2 --- Relation between future stocks returns and firm characteristics --- p.33 === Chapter 5.3 --- Robustness check --- p.38 === Chapter 5.3.1 --- Sub-period regressions --- p.38 === Chapter 5.4 --- Possible Explanations --- p.39 === Chapter 6. --- Conclusion Remarks --- p.44 === Chapter 6.1 --- Conclusion --- p.44 === Chapter 6.2 --- Limitations and future direction --- p.45 === Tables --- p.47 === Table 1 Key statistics for the Hong Kong stock market --- p.47 === "Table 2 Sectoral distribution of market capitalization (per cent of total),1997-2006" --- p.48 === "Table 3 Market capitalization: top twenty firms (percentage of total market), 2006" --- p.49 === Table 4 Summary of empirical literature of dispersion on stock returns --- p.50 === Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003 --- p.51 === Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.52 === Table 5 Summary Statistics for 70 sample stocks: January 1997 to December 2003(continue) --- p.53 === Table 6 Sample properties based on sectoral distribution --- p.54 === Table 7 Descriptive statistics for the analysts´ة forecasts dispersion: 1997-2003 --- p.55 === Table 8 Properties of the nine size-beta portfolio for the sample period from January 1997 to December 2003 --- p.56 === Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.57 === Table 9 Mean and Median Portfolio Returns by Size and Dispersion in Analysts´ة Forecasts --- p.58 === Table 10 Mean Portfolio Dispersion by Size and Dispersion in Analysts´ة Forecasts --- p.59 === Table 11 Fama-MacBeth cross-sectional regressions of analysts´ة forecasts dispersion on lagged firm characteristics --- p.60 === Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics --- p.61 === Table 12 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (continue) --- p.62 === Table 13 Overall monthly correlation matrix between explanatory variables for the period January 1997 to December 2003 --- p.63 === Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) --- p.66 === Table 15 Fama-MacBeth cross-sectional regressions of Stock excess returns on lagged firm characteristics (second sub-period) (continue) --- p.67 === Figures --- p.68 === Figure 1 Growth trend of the Hong Kong stock market --- p.68 === Figure 2 Equities funds raised by H shares enterprise for GEM --- p.69 === Appendix one --- p.70 === References --- p.71 |
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