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.iTable of Contents --- p.ivList of Tables --- p.iiiList of Figures --- p.ivChapter I. --- Introduction --- p.1Chapter II. --- Literature Review --- p.10Chapter A. --- Existence and Persistence of Momentum Profitability --- p.10Chapter B. --- Potential Sources of Momentum Profitability and Behavioral Models Explanations --- p.11Chapter C. --- Evaluations of Possible Explanations --- p.14Chapter III. --- Data and Methodology --- p.18Chapter A. --- Portfolio Formation --- p.18Chapter B. --- Risk-Adjusted Momentum Profits --- p.20Chapter 1. --- Capital Asset Pricing Model (CAPM) (Sharpe (1964) and Lintner (1965)) --- p.21Chapter 2. --- Fama and French Three-Factor Model (Fama and French (1996)) --- p.21Chapter 3. --- Chordia and Shivakumar Four-Factor Model (Chordia and Shivakumar (2001)) --- p.21Chapter C. --- Momentum Profitability and Firm Characteristics --- p.24Chapter D. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.28Chapter IV. --- Empirical Results --- p.30Chapter A. --- Momentum Profitability in the Hong Kong Stock Market --- p.30Chapter B. --- Profitability of Momentum Portfolios in Each Calendar Month --- p.33Chapter C. --- Properties of Momentum Portfolios --- p.34Chapter D. --- Risk- adjusted Return of the Zero-cost Momentum Portfolio --- p.36Chapter E. --- Long-run Profitability of Momentum Portfolios --- p.37Chapter F. --- Momentum Profitability and Firm Characteristics --- p.42Chapter 1. --- Momentum Profitability and Firm Size --- p.42Chapter 2. --- Momentum Profitability and Book-to-market Ratio --- p.44Chapter 3. --- Momentum Profitability and Trading Volume --- p.45Chapter 4. --- Momentum Profitability and Stock Price --- p.46Chapter 5. --- Momentum Profitability and Industry Classifications --- p.46Chapter 6. --- Momentum Profitability and Analyst Coverage --- p.48Chapter 7. --- "Momentum Profitability, Firm Size and Book-to-market Ratio" --- p.49Chapter 8. --- "Momentum Profitability, Firm Size and Trading Volume" --- p.50Chapter 9. --- "Momentum Profitability, Book-to-market Ratio and Trading Volume" --- p.51Chapter 10. --- "Momentum Profitability, Firm Size and Analyst Coverage" --- p.52Chapter 11. --- "Momentum Profitability, Book-to-market and Analyst Coverage" --- p.52Chapter G. --- Two Alternative Momentum Strategies: Stock Specific Return Strategy and Factor Related Return Strategy --- p.53Chapter V. --- Conclusion --- p.57Reference --- p.8