Dissertation > Excellent graduate degree dissertation topics show

An Empirical Study of the Price-earnings Ratio Effect and Size Effect on Shanghai Stock Market

Author: ZuoKaiFeng
Tutor: WuWei
School: Hunan University
Course: Finance
Keywords: PE Low-price-earnings-ratio effect size effect
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 42
Quote: 0
Read: Download Dissertation


As stock market’s"anomalies", the discovery of size effect andLow-price-earnings-ratio effect vacillated the efficient market theory in the academicstatus. The aim of this paper is the study of size effect and Low-price-earnings-ratioeffect on Shanghai stock market. On the basis of summarizes the research results athome and abroad, This paper Elaborate the concept of size effect andLow-price-earnings-ratio effect,introduce methods to empirical testing them andanalysis of their causes. Then this paper also make empirical test to the size effect andLow-price-earnings-ratio effect of Shanghai stock market. In the empirical test,thispaper collected761home in Shanghai A share listed companies in2008May to2011April monthly income data. In accordance with the flow of the market value andprice-earnings ratio size,all sample stocks is divided into6portfolios(S/L, S/M,S/H, B/L, B/M, B/H). Construced two variables,SMB and HML,measure sizeeffect and Low-price-earnings-ratio effect. SMB is a3small-cap portfolio (S/L, S/M, S/H) monthly income arithmetic mean value is subtracted from the3big marketportfolio (B/L, B/M, B/H) monthly income of the arithmetic mean. HML is the2portfolio (S/H, B/H, highest PE) monthly income is the arithmetic mean value issubtracted from the2portfolio (S/L, B/L, lowest PE) monthly income of thearithmetic mean. It was found,The variable SMB only in3small company portfolioof sample stock returns explain. The variable HML at a low P/E ratio portfolio to thesample stock returns explain.Finally, we analysis and interpretation based on theempirical results, and gives the corresponding policy suggestions. This papersuggested by develop the GEM,to strengthen the supervision of the stock market,improve the transparency of information, expand open to the outside world,strengthen investor education, its issue multibarrel method to improve marketefficiency.

Related Dissertations

  1. The Relationship of Academic Self-esteem, Physcial Self-esteem and Impliicit Self-esteem of PE Major Students,G807.4
  2. A Research on Professional Identity and Related Factors of the Middle School P.E. Teachers in Fujian,G633.96
  3. About Taiyuan elementary school physical education teachers charisma research,G623.8
  4. Yuncheng secondary vocational school physical education teachers Survey Research,G633.96
  5. Five learning areas in Henan Province middle school physical education teachers teaching behavior impact study,G633.96
  6. Medical colleges and vocational practical physical education curriculum content selection and development,G807.4
  7. Japanese elementary school physical education teachers Comparative Study of Professional Standards,G623.8
  8. About the Research on School PE Environment of Suzhou International Education Park,G807.4
  9. Qinghai PE teachers job satisfaction,G807.4
  10. Study on the Photodegradation of Ciprofloxacin in Water,X592
  11. The Research on the Influence of the Achievements of the Eighth Curriculum Reform on the PE Teachers in Henan Province,G633.96
  12. PE teachers Qinghai health status and interventions,G807.4
  13. Photovoltaic effect on the BaTiO 3 ferroelectric properties of thin films,O484.4
  14. VC/PE Shareholding, Shareholding Structure and Firm Performance: Illustrated by the Small and Medium-sized Enterprise Board,F224;F832.51
  15. Study on Size Effect, Bearing Capacity and Residual Pressures of Large Diameter Grouted Pile,TU473.1
  16. Experiment and Finite Element Analysis on Micro Forward Extrusion Process with Amorphous Alloy,TG139.8
  17. Research on Influence Factors on Metal Fatigue Strength,TG115.57
  18. The Effects of Strain-gradient In Micro Piezoelectric-Bimorph Power Harvesters,TN401
  19. The Research on Wear Behavior of High Chromium White Cast Iron and 7CrMnMoS Steel,TG143.1
  20. Stirrups confined concrete performance Size Effect,TU375
  21. Electroluminescence from Colloidal ZnS QDs,O472.3

CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
© 2012 www.DissertationTopic.Net  Mobile