文章基本信息

标题：Financial Ratios and Stock Returns on China’s Growth Enterprise Market
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作者：Zhaohui Zhang
期刊名称：International Journal of Financial Research
印刷版ISSN：1923-4023
电子版ISSN：1923-4031
出版年度：2015
卷号：6
期号：3
页码：p135
DOI：10.5430/ijfr.v6n3p135
语种：English
出版社：Sciedu Press
摘要：China’s capital markets are not yet fully integrated into the world equity markets. Given the market segmentation, I investigate the relationships between financial ratios and short-term stock returns on China’s recently established Growth Enterprise Market (GEM). Based on regression results, among dozens of financial variables tested, the year-to-year revenue growth is found to be the most significant variable predicting a stock’s short-term performance in every sub-sample period. In contrast, neither the conventional measure price-to-book nor the newly proposed measure of gross profitability is significant. In addition, market capitalization does not behave in the familiar way found in developed markets. The evidence indicates that factors beyond the traditional size, value, or quality have strong explanatory power in short-term asset pricing behavior on the GEM.
其他摘要：China’s capital markets are not yet fully integrated into the world equity markets. Given the market segmentation, I investigate the relationships between financial ratios and short-term stock returns on China’s recently established Growth Enterprise Market (GEM). Based on regression results, among dozens of financial variables tested, the year-to-year revenue growth is found to be the most significant variable predicting a stock’s short-term performance in every sub-sample period. In contrast, neither the conventional measure price-to-book nor the newly proposed measure of gross profitability is significant. In addition, market capitalization does not behave in the familiar way found in developed markets. The evidence indicates that factors beyond the traditional size, value, or quality have strong explanatory power in short-term asset pricing behavior on the GEM.