A study of the price momentum and reversal effect of tourism stocks in the United States.

Zhang, Wanqing.Leaf 138 numbered in duplicate.Thesis (M.Phil.)--Chinese University of Hong Kong, 2010.Includes bibliographical references (leaves 138-143).Abstracts in English and Chinese.Abstract --- p.i摘要 --- p.iiAcknowledgement --- p.iiiTable of Content --- p.ivList of Tables --- p.viList of FiguresChapter Chapter 1: --- Introduction --- p.1Chapter 1.1 --- An Overview of the Tourism Industry --- p.1Chapter 1.2 --- Research Motivation --- p.3Chapter 1.3 --- Outline --- p.8Chapter Chapter 2： --- Literature Review --- p.9Chapter Chapter 3： --- The Data and Methodology --- p.14Chapter 3.1 --- Dataset --- p.14Chapter 3.2 --- Methodology --- p.21Chapter Chapter 4： --- Empirical Evidence For Tourism Industry --- p.25Chapter 4.1 --- Hypothesis --- p.26Chapter 4.2 --- Evidence for the tourism stocks --- p.27Chapter 4.3 --- Decomposition of Returns --- p.42Chapter 4.4 --- Seasonality --- p.52Chapter Chapter 5： --- Empirical Evidence For The Market --- p.56Chapter 5.1 --- Momentum and reversal effect in general market --- p.57Chapter 5.1.1 --- Profitability and Return Performance --- p.57Chapter 5.1.2 --- Seasonality --- p.66Chapter 5.2 --- Tourism industry vs. General market --- p.70Chapter Chapter 6： --- Explaining The Momentum And Reversal Effect: Capital Asset Pricing Model --- p.73Chapter 6.1 --- Capmand three-factor model --- p.74Chapter 6.2 --- Evidence from tourism stocks --- p.86Chapter Chapter 7： --- Explaining The Momentum And Reversal Effect: Fundamentals --- p.92Chapter 7.1 --- Movements in fundamentals --- p.95Chapter 7.1.1 --- Fundamental hypothesis --- p.95Chapter 7.12 --- Movement in profits --- p.96Chapter 7.2 --- Using Logit Model To Explore Differences Between The Winner And The Loser Portfolio --- p.108Chapter 7.2.1 --- Induction of a binary choice approach- logit regression model --- p.108Chapter 7.2.2 --- MODEL I: Using changes in ROA --- p.113Chapter 7.2.3 --- MODEL II: Using coded Ret-ROA --- p.115Chapter 7.2.4 --- MODEL III: Multi-variable logistic regression --- p.118Chapter Chapter 8: --- The Price Impact Of Institutional Investors To Tourism Stocks --- p.120Chapter 8.1 --- Changes of institutional ownership in tourism stocks --- p.122Chapter 8.2 --- Regression Results --- p.126Chapter Chapter 9: --- Conclusion --- p.132Reference --- p.13