The high-volume return premium: the case of Hong Kong.

Chang Li.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.Includes bibliographical references (leaves 38-39).Abstracts in English and Chinese.Abstract --- p.ii論文摘要 --- p.iiiAcknowledgement --- p.ivTable of Contents --- p.vChapter Chapter 1 --- Introduction --- p.1Chapter Chapter 2 --- Literature Review and Hypotheses --- p.4Chapter 2.1 --- Literature Review --- p.4Chapter 2.2 --- Main Hypotheses --- p.7Chapter Chapter 3 --- Methodology --- p.12Chapter 3.1 --- Size and volume classifications --- p.12Chapter 3.2 --- Portfolio formation strategies --- p.15Chapter 3.3 --- Statistical inferences --- p.17Chapter Chapter 4 --- Data Analyses --- p.19Chapter 4.1 --- Descriptive statistics --- p.19Chapter 4.2 --- Main results --- p.20Chapter 4.3 --- Tests using absolute share volume as an alternative volume measure --- p.26Chapter Chapter 5 --- Tests using Return as an Additional Conditioning Variable --- p.31Chapter 5.1 --- Return classifications --- p.32Chapter 5.1 --- Test results --- p.33Chapter Chapter 6 --- Conclusion --- p.36References --- p.3