| In the rapidly changing stock market, stock return depends on variable factors. Allthese factors include not only information which is disclosed publicly but also insideinformation as well as irrational behaviors. Under the influence of numerous factors,none of any models could precisely reflect the forming mechanism of stock return untilnow. But, stock return is always the focus of stock market and takes all the investors’attention, and, at the same time, is the object which is attracted by listed companies andsecurities commission. Compared with developed countries such as European Unionand United States, China’s stock market is younger and immature. So, many theorieswhich were proved to be effective in the stock market in these countries were notsuitable for China. At the same time, there is certain uniqueness in China’s stock marketbecause both corporate governance structure of listed companies and the specializationof investors in China are far behind those in developed countries. Depending on thissituation, we decide to explore the incidence how variables which are picked fromcorporate financial statistics and stock exchange statistics as well as corporategovernance structure influence stock return.After the review of literatures, we pick567listed companies during the period of2007-2011as the research sample, select relative explanatory variables to structurepanel data model and analyze the correlation of the data, then choose representativevariables to structure new model and do regression analysis of the whole sample and thelargest three industries separately. The result proves that:(1) Part of the18variables hasso serious linear correlation of each other that the deviation of whole model regressionanalysis would be higher than that in normal situation. Correlation analysis must bedone before regression.(2) For the whole sample, there are ten variables includingmarket value, equity per share, return of equity, operation income increase ratio,asset-liability ratio, total asset turnover ratio, average stock price, stock trade volume,ownership concentration and industry that influence the stock return remarkably.(3)The factors between corporations in different industry have remarkable difference. Thedifference conforms to the characteristics of the industry.Based on the analysis above, whether corporate financial statistics or stock tradingstatistics, or corporate governance structure could influence stock return remarkably.Investors should make their decisions rationally in the form of considering thoroughly about the public information of the target company and investing in the familiarindustries to gain higher stock return. Listed companies should eradicate the behavior ofdisclosing false information to decrease information asymmetry for the responsibility ofshareholders’ interest. Securities commission should urge listed companies to completethe information disclosure, pay attention to the abnormal fluctuation of stock return, andfind out any possible problems from the variable factors. |
