Fundamental Extrapolation And Stock Returns-Evidence From A-share Stock Market

The effectiveness of the stock market has always been the most concerned issue for market participants.Whether it is technical analysis,quantitative investment or fundamental investment,both of them express that shareholders want to predict the trend of stock price and get great stock returns through historical data.So,questions are concerned such as whether the value of listed companies in China can be truly reflected by their stock price,whether the fundamental information of listed companies is related to their stock price,and the difference of the impact of different fundamental information indicators to stock price,etc.Through the study of these issues,it is possible to predict the trend of the stock market and help investors to make correct investment decisions which has certain practical significance.This paper studies the ability of the fundamental factors of listed companies to predict stock returns based on the fundamental extrapolation models,and this paper screens the disclosure data of companies in A-share stock market from 2002 to 2020,and conducts empirical tests through five fundamental extrapolation models.It turned out that fundamental factors do contain useful information about future stock returns,but the ability of individual fundamental factor to predict stock returns is not significant.The predictive power of that multiple fundamental factors get together is significantly improved.The results obtained by treating the fundamental factors with the optimal moving average are very significant in the ability to predict the stock returns.Illustrates that several fundamental factors over the past period have significant predictive power for stock returns.