Research On The Effective Factors And Characteristics About Excess Returns In A-share Listed Companies

Based on multifactor model,the study selected and examined the validity of candidate factors,which includes profitability,growth ability and scale of a company,proving that profitable factor-prime operating gross profit rate,growth ability-net profit growth rate and growth rate of prime operating income,scale-negotiable market cap are effective factors and these factors have a significant impact on excess returns of listed companies.Diving the impact of scale on excess returns into risk factors and the effectiveness of the securities market,we found that the profitability,growth ability,scale,risk factors and the effectiveness of the securities market affect excess returns of A-share companies.Then,we selected companies gaining excess returns according to profit effective factor and growth factor,analyzed the characteristic of industry distribution,headquarters regional distribution,properties,reorganization and the chip concentration of companies gaining excess returns comparatively,founding that the characteristic in the field of industry of companies which gain excess returns are as follow: favorable market environment;industry policy support and credit endorsement from the government;corporate business helps go through economic cycle;rigid industry demand;the leading role in subdivision industry.The characteristic of headquarters regional distribution of companies gaining excess returns are as follow: the regional concentration in Beijing,Shanghai and Shenzhen is highest;the higher administrative levels of the city,the more these companies and there are more companies gaining excess returns in economically developed cities located in eastern coastal areas.The characteristic of the property of companies gaining excess returns are as follow:the excess returns of private enterprises are higher than that of state-owned enterprises;private enterprises with a strong growth ability gain most excess returns.The study also found that reorganization would promote the growth ability of company,state-owned enterprises in traditional industry have a strong will to reorganize and there is positive correlation between the chip concentration and excess returns of a company.Studies on multifactor model in domestic are confined to the effectiveness of domestic securities market.This paper not only examined the effectiveness of multifactor model in China A-share market by writing automation program with Python language,but also analyzed and summarized the characteristics of companies gaining excess returns which is selected according to effective factors in industrial and regional distribution.This paper has a high reference value for investors in A-share market allocating their asset.Finally,policy suggestions on local governments how to attract domestic and foreign enterprise headquarter(avoid local companies move out)and regulators how to improve the system of A-share market are given.