Analysis on Excess Return and Risk of Individual Stock—The Case Study of China
This paper discusses the excess return, January effect and condition of risk premium of individual stock in Shenzhen and Shanghai stock markets, combined with size effect and status of industry sectors. The results indicate that 103 listed companies in China have significant excess return, including up to 45.45% of these listed companies belongs to the financial industry. The risk of financial industry, however, is larger than that of the market. In other industry sectors, there exists relatively higher occurring of January excess return in hotel industry, food and beverage industry, transportation, warehousing and post services. This may be associated with the Chinese New Year Festival.
KeywordsAbnormal return Capital asset pricing model (CAPM) Risk premium
The paper is a periodical achievement of the 2018 school-supported scientific research program A Study on Liability Theories about Insider Trading of Financial Derivatives of Beijing Institute of Technology, Zhuhai (XK-2018-19).
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