Research On Expected Returns Of Listed Company Based On Company Capital Growth

Minimum Attractive Rate of Return(MARR) is a parameter that reflects fund time value of the investor and the fundmental criterion of project financial rate of return.It directly affects the project dynamic analysis results, determines the feasibility of investment project, has influence on the project future survival ability and the anti-risk ability.Whether MARR value is appropriately chosed or not has the extremely vital role on the project dynamic appraisal.The companies project choice has important influence on their development and affects the social resources reasonable allocation, therefore it is very important for the companies that the appropriate MARR is chosed when the project is invested.It will have the quite vital significance that MARR model is established and reasonable MARR level is calculated according to our country current economical condition and the future development tendency.The dissertation makes sure that Expected Returns(ER) is acted as the criterion of measuring MARR by analysis,and finanlly takes focus on measuring ER of the listed companies.After clarifying the concepts and relationships among ER,fundamental value and Normal Rate of Return(NRR),the dissertation constructs ER measurement model based company capital growth.And then quite systematically thoroughly studies are carried on by China stock market and the company finance data. At the same time, based on the China stock market current situation, the dissertation does some research on the relationship of company capital growth and fundamental value, company capital growth rate and NRR by the theory analysis and the empirical test, which provides the support for the linkage between the real market and the virtual market. The dissertation's research content mainly involves NRR decomposition model, the connection research between company capital growth and NRR, ER measurement model and so on. The main parts and conclusions of this dissertation are as follows:1. Based on the facts that the listed company's achievement has low relevance with stock market's development, the dissertation proposes the thought that the listed company stock rate of return is revised into NRR that has relationship with campany capital growth rate. And then the relations between NRR and ER are explained: both of the two rate of return affects the company capital growth situation, but the NRR reflects the enterprise past investment benefit level, and ER reflects the enterprise future rate of return that investor may accept the lowest benefit level.Obviously, according to the inertia of the investor, the NRR is the foundation data that ER is forecasted.2. In order to get NRR,this dissertation regards NRR and Speculative Rate of Return(SRR)as unobservable variable. They have been testified in the past research that net benefit per share contains the information of stock NRR and PE can reflect the information of SRR, and then stock NRR measurement model is proposed based on the kalman filtering .At the same time ,the estimation methods of stock NRR measurement model are detailly deduced.Finally, the NRR is calculated out according to the datum in chinese HongKong market and domestic market, and analyze investors'rationality in the two markets by comparison of the model parameters being solved.3. In order to confirm this hypothesis that company capital growth rate has relationship with NRR, this dissertation establishes linkage relations VAR model of company capital growth and NRR under the condition of general equilibriums. The study indicated that market price per unit capital of the benefit maximization company is exactly equal to their fundamental value.And if company makes decision that are based on profit maximization, the stock NRR, the stock price and company capital growth rate are correlative when market achieves equilibrium.4. Linkage relations between company capital growth rate and NRR are tested by using the Chinese HongKong market and the domestic market data. Firstly, fundamental value and NRR is worked out according to the kalman filtering. Secondly, the analysis of the relation between the stock market fundamental value and the company capital growth tendency is carried on through VAR model. The results indicate that the stock market fundamental value and the company capital growth keep more relative and have the stronger influence each other. Thirdly, utilizing econometrics tool just as the cointegration test, the Granger causality effects examination, the generalized impulse response and the mean variance decomposition econometrics tool, the dissertation have conducted the interaction relations research on the Chinese HongKong market and domestic market NRR and their company capital growth rate. The cointegration test implies the NRR and the company capital growth rate have the long-term stable mutually effection, and have the coordinated change tendency. The granger causality relation analysis demonstrates that the NRR and the company capital growth rate have the bidirectional credible granger causality.On another words, the research on the volatility of the company capital growth rate is helpful to forecast NRR trend, vice versa. According to reaction extent analysis of the impulse response, it can be found that the influence of NRR on the company capital growth rate is bigger than the influence of the company capital growth rate on NRR. Lastly, looked from the percentage of the forecast mean variance contribution, the contribution of the company capital growth rate is the dominant position regardless of mean variance decomposition of stock market NRR or the companies capital growth rate.5. This dessertation has established the ER measurement model based on the company capital growth.By introducing the recursion utility function into the ER measurement model, the dissertation constructs the ER measurement model considering the company risk preference. And the simulation of the marginal ER is carried on under the different condition of the different preference parameters.The result indicates that the influence of Subjective discount factor on ER is negative. Besides, the bigger subjective discount factor is, the smaller absolute value of the marginal ER on subjective discount factor is.But the influence of the elasiticity of intertemporal substitution and coefficient of relative risk aversion on ER is positive. The marginal ER on the elasiticity of intertemporal substitution and coefficient of relative risk aversion goes up along with the elasiticity of intertemporal substitution and coefficient of relative risk aversion's enhancement. Namely, kept the enhancement scope of the marginal ER on the elasiticity of intertemporal substitution and coefficient of relative risk aversion stable, the enhancement scope of ER is relatively bigger when the elasiticity of intertemporal substitution and coefficient of relative risk aversion change into some scope.6. In view of the proposed ER measurement model, the dissertation establishs the the econometric model that caculated the ER. And the analysis of 32 listed real estate companies selected for time scope from 2000 to 2006 is carried on. The dissertation works out the ER of the 32 real estste companies to get the rate of return standards for the companies'project selection. At the same time, the research discovers that ER of listed real estate industry is 12.17%. This result may give a preliminary judgement standard for the question whether the Chinese real estate market has speculation. Moreover, by the result of the industry ER, the guidance for the real estate industry investment may be also provided to keep the real estate market development into the healthy direction.