中国A股市场个股收益影响因素的实证分析

Empirical Analysis on Influencing Factor of Return of Stocks in China′s A-Share Market

选取公司市值、账面市值比、净营运资产、市净率和管理费用作为解释变量来构建面板数据模型,利用2007—2011年我国A股市场中573家上市公司的面板数据进行回归分析,探析这些财务指标对中国A股市场的股票月收益率的解释力度。研究结果显示:上述解释变量对股票月度收益率具有显著影响,说明这些财务指标对股票收益的解释力度较强;公司市值和账面市值比与股票收益率正相关,在研究期间存在明显的账面市值比效应;净营运资产、市净率和管理费用与股票收益率负相关;中国股票市场是一个弱式有效市场。

This paper selects market value,book-to-market ratio,net operating asset,PB and management expense as the explanatory variable to construct the panel data model. Then it uses the panel data of 573 listed companies in China＇s A -share market during 2007-2011 to analyze the effects of these financial indexes on stock return. The result shows as follows：these financial indexes have all significant impacts on stock return; market value and book-to-market ratio have positive effects on monthly stock return,and there exists remarkable book-to-market ratio effect;net operating asset, PB and management expense have negative effects on monthly stock return;Chinats stock market is a market with weak form efficiency.