| Leading enterprises are well-known large enterprises in the industry and regional markets,which have scale and demonstration effect and can lead the development of the industry.Recently,there have been various investment strategies for leading stocks in the stock market,and whether the leading stocks can obtain excess returns is a hot topic for investors.However,this issue has not been clearly defined and scientifically explained by researchers.Therefore,this paper will focus on the core issue of whether to obtain the excess return rate by investing in the stocks of leading enterprises.Based on the value investment strategy,we constructed a composite evaluation factor of leading stocks from the three dimensions of scale,profitability and growth,and used it to select the stocks of leading enterprises and formed a portfolio to explore whether the portfolio can obtain a stable excess rate of return compared with the CSI 300 index.First of all,according to the leading factors from 2002 to 2004,we selected the stock portfolio of leading enterprises in 2005,and compared the returns of CSI 300 index in the same period from April 2005 to December 2021 to verify whether the excess return rate of the stock portfolio of leading enterprises was significant;Secondly,we separately used three-factor model and five-factor model to test whether the adjusted excess return still existed;Thirdly,we conducted multiple attribution analysis on the stock portfolio yield of leading enterprises,analyzed the significance of leading factors,and discussed the impact of stock disaster and equity separation reform on the combined returns.Fourth,taking the real estate industry as an example,the group and attribution analysis of leading factors were carried out to analyze the impact of leading factors in the industry on earnings.Finally,it demonstrated whether the excess return of the stock portfolio of the leading enterprises selected in different years was still significant,and focused on the analysis of the stock portfolio of the leading enterprises selected in 2011 after the Share Splitting Reform.We find that:Firstly,the stock portfolio of leading enterprises has a significant excess return rate compared with the CSI 300 index,and the excess return rate adjusted by the three-factor model and five-factor model is still significant;It is continuously verified that 15 groups of stock portfolios of leading enterprises selected in other years(including those after equity separation reform)can obtain stable excess return.Secondly,we find that the stock returns of leading enterprises with low leading factor scores are on average higher than those of leading enterprises with high leading factor scores.The reason may be that the leading enterprises with low scores are in a more competitive industry with better growth and efficiency.Thirdly,the leading factors have significant impact on the portfolio yield.Investment factors basically have no explanatory ability.Turnover rate factors have explanatory ability to portfolio returns,but their significance is small.Fourthly,in the multiple regression analysis,the stock disaster factors have no significant effect on the portfolio return;The influence of stock reform factor on portfolio return is negative and significant;The profit factor and the leading factor have some information intersection,and have no significant explanatory ability to the portfolio return;The explanatory power of the six factor model has been further improved after the share reform.Finally,the stocks of leading enterprises in the industry do not necessarily get more than the average return of the industry.Only by investing in the stock portfolio of leading enterprises can we get the excess return. |
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