An Empirical Research On Factors Influencing Stock Returns Ratio Of Chinese Listed Companies

Scientific stock value evaluation model is an important basis for healthy development of Stock market. Nowadays, value investment theory becomes popularly accepted, and stock price has more and more important and direct influences on companies.In this paper, attention is paid on"abnormal"status of CAPM model. By systematic compare and study on various theories on stock returns ratio influencing factors, conclusions are made both on microscopic and macroscopic levels.Based on theory study, the paper focuses on indexes of companies fundamentals, 16 representative indexes of factors influencing stock returns ratio are picked out from 7 aspects, including asset scale, profitability, asset management ability, solvency, cash flow, growth ability, market status for empirical research.A market stocks before 1998 listed on Shanghai and Shenzhen stock markets are used as research object. Empirical research is used on time series data between 1999 and 2005 to analyze the correlation between stock returns ratio and studied indexes. Conclusion as follows: Function lock phenomenon exists on some level in China stock market. That means in procedure of stock value evaluation, investors pay more attention on companies profitability and growth ability, but ignore other factors-cash flow, liability ratio etc. In this evaluation method return of invest is over noticed than risk which may put bad affect on market and worth enough attention of investors.Secondly, Stock returns ratio regression model is established and used into empirical research. Results of enter regression indicates that multivariate Linear regression equation pass the F test which prove this model can successfully explain stock returns ratio. Results of stepwise regression indicates thatβindex, book-to-market value factor, return per share are main influencing factors of stock returns ratio, which proves the conclusion that investors put eyes on profitability and index that reflect market wave and price evaluation of market.The paper will provide a guide for improving the quality of listed companies and the acutance of investment decision-making.