Risk, anomalies, stock market in Hong Kong.

Wong Chin Pang, Antonio.Thesis (M.Phil.)--Chinese University of Hong Kong, 1998.Includes bibliographical references (leaves 48-52).Abstract also in Chinese.Abstract --- p.2Acknowledgment --- p.4Chapter 1 --- Introduction --- p.7Chapter 2 --- Data and Methodology --- p.13Chapter 3 --- Univariate Analysis --- p.15Chapter 3.1 --- Momentum Strategies --- p.15Chapter 3.2 --- Contrarian Strategies --- p.17Chapter 3.3 --- Value Strategies --- p.18Chapter 3.4 --- Descriptive Statistics --- p.22Chapter 4 --- Anatomy of Contrarian and Value Strategies --- p.25Chapter 4.1 --- Control for size effect --- p.25Chapter 4.2 --- Control for industry effect --- p.29Chapter 4.3 --- Hang Seng Index Constituent Stocks --- p.33Chapter 5 --- Are Contrarian and Value Strategies Systematically Riskier? --- p.35Chapter 6 --- Fama-French's Three-Factor Model --- p.40Chapter 7 --- Conclusion --- p.4