Reforming H shares based on comprehensive event studies
Xu Zhi. ; Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. ; Includes bibliographical references (leaves 61-62 (2nd gp.)). ; Abstracts in English and Chinese. ; ABSTRACT --- p.II ; 中文摘要 --- p.V ; ACKNOWLEDGEMENT --- p.XI ; Chapter CHAPTER 1 --- INTRODUCTION --- p.1 ; Chapter CHAPTER 2 --- VALUE OR GROWTH STOCK? --- p.6 ; Chapter 2.1 --- Summary Statistics: Financial Ratios of h Shares --- p.7 ; Chapter 2.1.1 --- Profitability analysis --- p.7 ; Chapter 2.1.2 --- Debt Structure --- p.9 ; Chapter 2.1.3 --- Operational Management --- p.11 ; Chapter 2.2 --- Corporate Identity: Value or Growth Stock? --- p.11 ; Chapter 2.2.1 --- Are H Shares Value Stocks? --- p.12 ; Chapter 2.2.2 --- Are H Shares Growth Stocks? --- p.12 ; Chapter 2.3 --- Summary --- p.13 ; Chapter CHAPTER 3 --- THE METHODOLOGY OF EVENT STUDIES --- p.14 ; Chapter 3.1 --- Brief Outline of an Event Study --- p.15 ; Chapter 3.2 --- Issues on Event Studies --- p.17 ; Chapter 3.2.1 --- Unknown Event Dates --- p.17 ; Chapter 3.2.2 --- Which is the best benchmark model for the normal return? --- p.18 ; Chapter 3.2.3 --- Hypothesis testing and problems with heteroskedasticity and dependence --- p.21 ; Chapter 3.2.4 --- A multivariate regression model (MVRM) employed in the event study --- p.24 ; Chapter 3.2.5 --- Measuring long horizon security price performance --- p.26 ; Chapter 3.2.6 --- Use daily return or monthly return in event study? --- p.27 ; Chapter CHAPTER 4 --- ARE H SHARES WANTED: DEAD OR ALIVE? --- p.28 ; Chapter 4.1 --- Definitions of Events --- p.28 ; Chapter 4.2 --- Sample and Estimation Procedures --- p.30 ; Chapter 4.2.1 --- Sample Selection --- p.30 ; Chapter 4.2.2 --- Estimation Procedures --- p.30 ; Chapter 4.3 --- Empirical Results of Good and Bad Earnings Announcements --- p.31 ; Chapter 4.3.1 --- Short Term Effects on Securities Prices --- p.31 ; Chapter 4.3.2 --- Long Term Post-Earnings-Announcement Drifts --- p.34 ; Chapter 4.3.3 --- Regression Analysis --- p.35 ; Chapter 4.3.3.1 --- REGRESSION RESULTS FOR GOOD EARNINGS ...