An Empirical Study On The Effect Of Corporate Growth Ability On Stock Excess Return

Although China’s stock market started late,experienced a short time and various market scale systems are not yet mature,it has developed very rapidly.With the rapid rise of China’s stock market,more and more scholars at home and abroad focus on the capital asset pricing research in China’s stock market.When it comes to capital asset pricing,it is necessary to mention the factor analysis.At present,the mainstream direction of research is to constantly optimize the original Fama French three factor model,or add new factors to expand the Fama French three factor model,or improve the Fama French three factor model based on some anomalies and special cases found in the stock market,but rarely involves building a factor model that conforms to China’s national conditions to study the impact of the company’s growth capacity on stock returnJianan Liu et al.(2019),based on the Fama French three factor model,combined with the specific situation of the Chinese stock market at that time,first replaced the book to market ratio factor(BP)with the profit to market ratio factor(EP),and then removed the smallest 30% of the stock market value in the Chinese stock market to reduce the impact of shell value pollution.Finally,they constructed a market factor,scale factor The value factor(EP)is the Chinese version of the three factor model with three basic factors.Through empirical research,it is confirmed that the Chinese version of the three factor model is more applicable than the Fama French three factor model in the Chinese stock market.Based on CSMAR,this paper adds business income as a growth factor indicator to the Chinese version of the three factor model to try to improve the explanatory power of the Chinese version of the three factor model,And observe whether the impact of using the change value of operating income to measure the company’s growth on the portfolio stock return is different from the conclusions of previous scholars who used other objective indicators to measure the impact of company growth on the portfolio stock return.Firstly,this paper constructs the Chinese version of the three factor model based on Guotai’an financial database,and conducts regression tests on it;Then,the operating income was added to the Chinese version of the three factor model as a measure of growth factors,and a four factor model was constructed.25 scale EP independent variables were used to conduct regression analysis on the four factor model.Finally,the five largest stock portfolios,10 stock portfolios,15 stock portfolios,and 20 stock portfolios were selected,GRS tests were conducted on the Chinese version of the three factor model and the Chinese version of the four factor model with growth factors.Through the empirical analysis of the Chinese version of the three factor model and the four factor model,this paper draws a conclusion: First of all,the Chinese version of the three factor model has a good adaptability in the Chinese A-share market,and on the whole,the Chinese version of the three factor model has a stronger explanation for the returns of small scale,low profit to market ratio companies’ stock portfolios,and a weaker explanation for the returns of large scale,high profit to market ratio companies’ stock portfolios.Secondly,after adding growth factors to build the Chinese version of the four factor model,the explanatory power has been further strengthened,which shows that the company’s growth ability has a significant impact on the excess return rate of the company’s stock,and the impact on the excess return rate of the company’s stock portfolio with low profit to market value ratio and large(large market value)is more significant.