Research On The Calculation Of The Expected Rate Of Return On The Assets Of Listed Pharmaceutical Companies In My Country

The equilibrium of capital asset pricing is the research foundation of modern finance.In recent decades,with the increasing diversification of investment portfolio,the improvement of market efficiency and the degree of information transparency,investors pay more and more attention to the expected rate of return of stock assets.The expected return on assets of investors also affects the measurement of the cost of capital and financial decisions.Therefore,the measurement of the expected return rate of assets of stock investors has become a hot spot of modern finance research.In China's stock market,pharmaceutical stocks,as an important participant in the market,have been expanding in size and number since 1993 when Harbin pharmaceutical company entered the stock market.Now,it has become one of the sectors with the largest number of listed companies in the a-share market.Due to the rigid demand of pharmaceutical consumption,the non-periodicity of pharmaceutical stocks is not so sensitive to the overall environment of the stock market.Therefore,in the past several stock market disasters,pharmaceutical stocks have shown good defensive ability.Based on the stable earnings of pharmaceutical stocks,investors have been paying more attention to pharmaceutical stocks.Therefore,this paper believes that the research on the expected return rate of assets of listed pharmaceutical companies in China has a strong practical significance.This paper systematically sorted out relevant literature on return on assets and its measurement,and made a comparative analysis of the main measurement models of return on assets.Based on the prediction effect and empirical operability of the model,CAPM and its extension model in the risk-return model were selected as the empirical model of this paper.After theoretical analysis and market applicability analysis of the models used,empirical measurement was carried out.In the empirical study,monthly data of China's pharmaceutical sector index from 2005 to 2018 were selected to conduct time series regression for single-factor CAPM model(including market risk only)and multi-factor CAPM model(including market risk,rate of change of p/e ratio in the previous period,rate of change of market sales rate in the previous period and rate of change of market current rate in the previous period).The results show that the multi-factor CAPM model has a high fitting degree for the rate of return on assets of listed pharmaceutical enterprises in China,indicating that the market risk,the rate of change of price/earnings ratio in the previous period,the rate of change of market sales ratio in the previous period,and the rate of change of current rate in the previous period can effectively explain the rate of return on assets of listed pharmaceutical enterprises in China.And using GARCH model to get the stock market in our country R_m forecasts in January 2019,the Shanghai index based on p/e rate of change in December 2018,the city sales rate,city rate change rate,using multifactor CAPM model,to January 2019,China's pharmaceutical listed companies expected return on assets is calculated,the empirical results show that the predicted values and the actual return on assets is relatively close,the predicted results are more accurate.The research shows that:(1)multi-factor CAPM model can better explain the volatility of the return on assets of listed pharmaceutical companies in China;(2)the change rate of price-to-sales ratio in the previous period has the largest impact on the rate of return on capital of listed pharmaceutical companies in China,while the change rate of price-to-earnings ratio in the previous period has the smallest impact and is less significant than other indicators,which is consistent with the characteristics of China's pharmaceutical industry;(3)market risk has a certain impact on the rate of return on capital of listed pharmaceutical companies in China,but the impact is not large.As this paper is a measurement study,the measurement results are inevitably biased.In the following research,Maybe the further improvement in CAPM or more explanatory power influential factors can reduce the prediction deviation.