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Analysis on Excess Return and Risk of Individual Stock—The Case Study of China

  • Cheng-Yong Liu
  • Shih-Yung Wei
  • Xiu-Wen Ye
Conference paper
Part of the Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering book series (LNICST, volume 264)

Abstract

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.

Keywords

Abnormal return Capital asset pricing model (CAPM) Risk premium 

Notes

Acknowledgement

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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Copyright information

© ICST Institute for Computer Sciences, Social Informatics and Telecommunications Engineering 2019

Authors and Affiliations

  • Cheng-Yong Liu
    • 1
  • Shih-Yung Wei
    • 2
  • Xiu-Wen Ye
    • 3
  1. 1.Beijing Institute of TechnologyZhuhaiPeople’s Republic of China
  2. 2.Business SchoolYulin Normal UniversityGuangxiPeople’s Republic of China
  3. 3.Yulin Normal UniversityGuangxiPeople’s Republic of China

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