Dissertation > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market

The Panel Data Analysis of Expected Stock Returns

Author YuanJiaYin
Tutor ZhaoZhenQuan
School Jilin University
Course Quantitative Economics
Keywords CAPM Model Economies of scale Value effect Parallel Data Regression
CLC F830.91
Type Master's thesis
Year 2005
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In this paper, in recent years, more cutting-edge parallel data regression method, the impact of China's stock market stocks yield factors were analyzed , and its deep-seated reasons discussed. And foreign research similar to our empirical study found that the market value can not be β average yield on the stock is given a full explanation . Float market capitalization of the company size, book -market ratio , price earnings ratio reflects the basic characteristics of the elements of the company on the stock can change in the average yield powerful explanation given . This is called the stock market's \In addition, the market size for different elements of the degree of influence stock returns are converging in the multivariate model with variable coefficients will be the same as the market value of the scale factor can increase the coefficient of the explanatory power of the model . China's stock market size effect exists , the value effect with foreign backgrounds and different underlying causes . As China's stock market is an emerging market , the regulatory mechanism is not perfect , investor sentiment is also not mature enough irrational investors more prominent . In addition , the stock market manipulation, stock market shell resource scarcity lead to small companies , and high book value of the company be more sought after than our stock markets are small firm effect , value effect , earnings effects unique background .

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