Dissertation > Excellent graduate degree dissertation topics show

Industry factors impact on stock returns Empirical Analysis

Author: NieQingLian
Tutor: XiongJiZhou
School: Fudan University
Course: Finance
Keywords: stock return industry factors ROE PB
CLC: F830.91
Type: Master's thesis
Year: 2009
Downloads: 524
Quote: 3
Read: Download Dissertation

Abstract


In classical finance theory,stock return is regarded to be mainly determined by the systematic risk which is represented by the covariance of the stock and the market. However,in realistic investment practice,industry factors have a critical influence on stock return,in terms of either market performance or asset allocation strategy by institutional investors,which is publicly accepted.Although some scholars conducted some empirical analysis,academic research on this problem is still under an unsystematic status.Due to the lag of theory to practice,this paper is supposed to conduct a systematic research on the impact of industry factors on stock returns.To achieve this,this paper firstly analyzes the working mechanism of industry factors on the basis of classical finance theory.Classical theory is largely concerned about equilibrium pricing and considers the price determination process an automatic black box,which reduces its explaining power on the real stock price fluctuation.Therefore,this paper concludes stock price determination and fluctuation mechanism,and then discusses on the effect that industry factors take in this process.This paper conducts empirical analysis, testing the extent and explaining power of industry factors of domestic listed companies on stock returns by the partial variance of the regression equation.The results show that industry factors account for 19.6%of the total fluctuation of stock price.And since stock returns can be broken down into objective part of ROE and subjective part of PB changes,this paper further analyzes the influence of industry factors on those two parts by regression method.Finally,this paper comes to a conclusion that industry factors take effect by influencing investors’ subjective estimates rather than operating results,based on the coefficients of stock return,ROE and PB changes.

Related Dissertations

  1. Orefield Structure and Geochemistry in the FanKou Lead and Zinc Deposit,P618.4
  2. Responses of Alocasia macrorrhiza to Different Water Stresses and Pollutants Exposures,X52
  3. An Empirical Research on the Relationship between the Capital Structure and Firm Value of Northeast China Listed Companies,F275.5
  4. A Empirical Study on Cooperate Governance and Performance of Chinese Listed Companies of Universitiesand Colleges,G647;F224
  5. The Characteristic and Evolution of Gliding Detachment Structure in Jiujiang-Ruichang Area,P542
  6. Zircon U-Pb Geochronology and Genesis of K-bentonite at the Paleozoic-Mesozoic Key Stratigraphic Boundaries of South China,P597.3
  7. Geochemical Characteristics and Tectonic Setting of Late Varisian Period in Alashan Block,P588.121
  8. The Petrogeochemistry of Intermediate-acidic Intrusive Rocks in Shengge Area and Its Tectonic Significance,P584
  9. Petrological Characteristics and Tectonic Environment of the Late Paleozoic Volcanic Rocks in Qinghe Xinjiang,P588.14
  10. A Study on Petrogenesis and Geological Significance of the Granitic Rocks in Southern Margin of the East Kunlun Region during Indosinian,P588.121
  11. Study on the Relation between Capital Structure and Equity Financial Performance of Private Listed Companies,F275
  12. Lancang old factory buried porphyry petrology, geochronology and genesis,P588.121
  13. Definition of Early Mesozoic Granitoids from Beishan Orogen, Origin and Their Tectonic Significance, and Spatio-temporal Distribution of Early Mesozoic Granitoids in Central and South CAOB,P588.121
  14. The Research on the Ability of Resistance to Pb Stress of Four Roadside Trees,X173
  15. The Euler equations Roe format , high-precision semi- Lagrangian method,O241.6
  16. Prepared by pulsed electrodeposition Ti-based the lead composite electrode material and performance,TG174.4
  17. An Empirical Study of Stock Price Formation and Discovery Based on Order Imbalance,F830.91
  18. Stock Returns of Listed Companies Factores Analysis in China,F832.51
  19. An Empirical Study on the Contribution of the Regional Economic Development to Rate of Return on Common Stockholders’ Equity,F832.51;F224
  20. A Study on Petrology and Geochrounolgy of the Heilongjiang Complex in the Huanan, Heilongjiang Province,P58
  21. Geochemical Characteristics of the Zijinshan Alkaline Complex in Linxian County, Shanxi Province,P597.3

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial market > Securities market
© 2012 www.DissertationTopic.Net  Mobile