我国创业板上市公司股价影响因素的研究.pdfVIP

OUR GEM LISTED COMPANY ’S SHARE PRICE INFLUENCING FACTORS ABSTRACT Since the Growth Enterprises Market (GEM) was officially listed, it has gr- eatly developed in every aspects. However, the market has undergone a high IP O under-pricing rate, high price earnings ratio and stock price volatility and oth- er kinds of anomalies, causing the majority of investors questioned the reasonab- leness of the stock price and worried the healthy development of the GEM. The- refore, studying the law of the changes in GEM stock price, the fluctuating ch- aracters and factors has great significance. Firstly, the paper systematically elaborates the characteristics and the price performance features in Chinas GEM, giving an in-depth analysis of the problem in price volatility, on the basis of which it determined the influencing factors of the stock price of GEM listed companies by analyzing the influencing factors from both microcosmic and macroscopical layers, including the asset scale, the profitability, the earning power, the growth ability, the operation efficiency ,the cash flow, the risk level , the ownership structure and so on. Then the paper select the quarterly data of 153 GEM listed companies from the first quarter of 2010 to the third quarter of 2013, dividing them into twenty-two portfolio by market value. On the basis of the Chen, Roll and Rosss multi-factor model and introduce the Fama-French three-factor to build a multi-factor model for empirically analyzed the quarterly stock profit rate. Results have shown that: company size, the book-to-market ratio, the Shenzhen composite index, the ROE, the ROA, the per-share earnings, the total assets III