Research Article
Analysis on Excess Return and Risk of Individual Stock—The Case Study of China
130 downloads
@INPROCEEDINGS{10.1007/978-3-030-06158-6_29, author={Cheng-Yong Liu and Shih-Yung Wei and Xiu-Wen Ye}, title={Analysis on Excess Return and Risk of Individual Stock---The Case Study of China}, proceedings={Wireless Internet. 11th EAI International Conference, WiCON 2018, Taipei, Taiwan, October 15-16, 2018, Proceedings}, proceedings_a={WICON}, year={2019}, month={1}, keywords={Abnormal return Capital asset pricing model (CAPM) Risk premium}, doi={10.1007/978-3-030-06158-6_29} }- Cheng-Yong Liu
Shih-Yung Wei
Xiu-Wen Ye
Year: 2019
Analysis on Excess Return and Risk of Individual Stock—The Case Study of China
WICON
Springer
DOI: 10.1007/978-3-030-06158-6_29
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.
Copyright © 2018–2024 ICST