Attribution Of Chinese Stock Market Excess Return

In twentieth Century 50 time around, modern investment theory, economists have begun toenter the investment field of study, and the micro economic theory and statisticalknowledge mature into the investment field, investment began to make management more scientific direction.Then the Markowitz presented the portfolio theory, the capital asset pricing model of William Sharp makes the capital market investment to rapid development, have to mention is Eugene Fama's efficient market hypothesis, the theory is is based on capital asset pricing model of William Sharp, provides a solid theoretical foundation for the later analysis of the capital market. This article is based on the assumption.In the traditional capital asset pricing model under the assumption that the size of the classic, beta is the only explanatory variables in the cost of equity capital changes, i.e. the system risk is higher, the higher the cost of equity capital. But in the empirical test, that the actual data is not always support the capital asset pricing model, main show is, if the theorymodel is set up, the regression equation should not have the intercept term, but in fact. Butthe study found that, when the intercept term is greater than 0, representing the value has been underestimated, also represents the research during this period the stock gainedexcess return in the empirical. In the practice of investment, also really found a lot ofsecurities with excess return, this discovery is the pursuit of securities investment field, is also the hot issue of the theoretical study.In this paper, based on the capital asset pricing model, the effective market price saidforeign scholar's theory, starting from the annual financial information listing Corporation,with the help of Olsen model, established the regression model to analyze the influencing factors to the listing Corporation for excess returns, then we in Shanghai and Shenzhen two city listing Corporation as a study population, extracted from the alpha annual ranking of the top 30 companies as the study group A, then extracted alpha not years after the top 30 companies as the control group for B, the relationship between the Sample Firms of 2006-2013 over the past 8 years sample regression results to analyze the listing Corporation accounting information and excess stock returns, and affect their degree,finally obtains the index of financial accounting is to find use in the intercept is greater than 0 of the shares, from a financial point of view for the excess rate of return attribution analysis. Finally find out those who can effectively reflect the stock excess returns variable.