Research On The Related Problems Of Gross Profit Margin And Stock Returns

There are many factors affecting the stock price,among them,the financial report and other accounting information disclosed by the listing corporations is an important basis for decision-making of market participants.The study concerns the relationship between accounting information and stock price conducted by western scholars has lasted for many years.In recent years,China's securities market achieved many results over market scale,market structure and hierarchy,transaction interconnection mechanism and other areas.However,the phenomenon of frequent accounting frauds and immaturity of market participants and the overall stock market situation still exists.Therefore,the correlation study between the accounting information disclosed by the China's listing corporations and stock price is of great significance.On the basis of previous studies and related theories,from the perspective of gross profit margin,this paper conducts the research over whether market participants misprice the gross profit margin and whether arbitrage trading strategy relating to the gross profit margin could be able to generate abnormal return.This paper selects the 2005-2014 as sample observation period and quarter as time dimension,consults the iteration and non-linear least squares of Mishkin test,along with the calculation method of Jensen alpha basing on the CAPM model,conducts statistical and economic significance analysis on the relevant data of 448 listing corporations.The results demonstrate that gross profit margin could not be completely utilized by investors in predicting future earnings and it has been undervalued by the market;Based on this conclusion,the utilization of arbitrage strategy concerns gross profit margin could generate abnormal return;Besides,after the introduction of the industry dimension,the value level of the abnormal return generated by arbitrage strategies will be improved.At the end of this paper,we summarize the corresponding research revelation from the perspective of market participants and listed companies,advocate for investors to improve their ability to fully understand financial reports of listed companies.