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Industry concentration and stock returns in China A-share market

  • Dan Min*
  • , Li Yan Han
  • , Dong Hui Li
  • *此作品的通讯作者
  • Beihang University
  • University of New South Wales

科研成果: 书/报告/会议事项章节会议稿件同行评审

摘要

Industry market structure impacts asset pricing of listed firms from risk and accountant surplus because of its effects on cash flows and profits of firms. We choose all Shanghai Stock Exchange and Shenzhen Stock Ex change-listed A-share securities from July 2001 to June 2005 in this paper, and explore the relationship between industry concentration and stock returns in Chinese capital market The results reveal that stock returns are significantly positively correlated with industry concentration even after controlling for size, book to marka and momentum, that is also to say firms in more concentrated industries earn more returns. Furthermore, the correlation between two aspects is not impacted by cash flow shocks, risk factors and macro economy. This conclusion derived from this paper is useful for the guidance of investment decision-making on capital market.

源语言英语
主期刊名Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)
出版商Institute of Electrical and Electronics Engineers Inc.
1754-1763
页数10
ISBN(印刷版)9787883580805
DOI
出版状态已出版 - 2007
活动2007 International Conference on Management Science and Engineering, ICMSE'07 - Harbin, 中国
期限: 20 8月 200722 8月 2007

出版系列

姓名Proceedings of 2007 International Conference on Management Science and Engineering, ICMSE'07 (14th)

会议

会议2007 International Conference on Management Science and Engineering, ICMSE'07
国家/地区中国
Harbin
时期20/08/0722/08/07

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