Empirical Study Of Accounting Investment Value Index And Stock Returns-evidence From GEM Market

With the GEM listed formally established on the Shenzhen Stock Exchange, China’s capital market has been further developed and expanded. Although the GEM listed is exclusively providing better financing platform for emerging industries and good growth of SMEs, however, there is one way or another problem in the process of development in the GEM market, the high price-earnings ratio is one of it.While the price-earnings ratio of listed companies is an important factor in stock returns, it has become the hot spots for many scholars and experts to study and discuss how to detect the stock returns from the GEM listed companies’ generally higher price-earnings ratio.At first, this paper discusses the background and significance of the research, the domestic and foreign literatures, research methods and contents of this paper, then introduces the theoretical basis of this paper related, then according to the characteristics and the current situation of GEM listed companies, combined with earnings-related factors, select the Shenzhen Stock Exchange GEM listed companies 2011-2013 as the sample data for research, trying to change the traditional price earnings ratio(PER reciprocal) since GEM listed companies generally have higher R & D expenses,it should be added back as a percentage of net profit contributors, combined with its growth, quality and risk of revenue, in order to build into the investment value of the index to reflect accounting for more information on the fundamentals of listed companies, namely improved earnings price ratio. Conclusions of this study show that the characteristics of the GEM market in high-risk and high returns, the value of the index-based investment accounting portfolio selection can not only reduce the risk to a certain extent, but you can get excess returns, as investors stock picking tool accounting investment value index is superior to traditional price earnings ratio; on the GEM index based on the accounting value of investments to build a portfolio with a relatively low risk and characteristics of higher returns, but this is not the company’s earnings business risks and scale to explain the long-held high-value index equity portfolio investment accounting can achieve significant positive excess returns.