Performance Persistence Of Listed Companies:

With the continuous development of Chinese stock market, the operating performance of listed companies and its performance sustainability has become a hot spot in the market. However, the negative news about the sustainable performances of the listed companies have been disclosed and reporting in the market. Since the second half of2012, the IPO review have exposed the unsustainable performance phenomenon of many going-listed companies. So, in such a market with so many more listed companies, could the company with a good performance in beginning still be sustainable in the future? Can the company with stable long-tern performance and profit be a good stock with excess return? Such questions are the focus of this article.After the completion of the derivation and establishment of the mover-stayer model, we take the2003-2012China Shanghai listed companies’ performance data on the Main Board as the database, then divided the data to three samples and applied them in the mover-stayer model, so we obtain the transition probability matrix and the stayer-ratio for each sample, and then we analysis the performance persistence of the listed companies in China.Then, on the basis of the empirical results, this paper analyzes the relationship between the persistence and investment performance of the listed company. We name the company "winner" which has a better performance than others in many turns. Also, the company with worst performance is named "loser". According to our research conclusion, the "winner" portfolio can get more investment revenues than "loser" no matter in the sample period or not. The "winner" can also get excess profit compared with the Shanghai Composite Index, which means that they can beat the market.Finally, based on the empirical results and the analysis content, we draw three conclusions:1.That overall performance persistence of listed companies in China are strong;2. however, the performance of different groups in China continued to show some differences, mainly for "bigger for both ends, smaller in the middle" which means the best performance group and the worst group shows stronger performance persistence and the performance persistence of the middle of the Performance of Listed Companies are relatively weak;3. The "winners" portfolio can beat the market.