The Study On Impact Of Listed Company's Investment And Profitability On Excess Return Of Stocks

After 28 years of development,Chinese stock market has become an important investment and financing means for enterprises and residents.However,there are still a series of problems in Chinese stock market.The policy is imperfect,the market mechanism needs to be improved,resulting in inefficiency;investor structure unreasonable and irrational phenomena are serious,and follow-up speculation is prevailing;the company's willingness to give back to the society is not strong,and its governance ability and internal system are mediocre.In this context,rational asset-pricing has become an important research direction.In recent years,the rise of the investment CAPM has also pointed out a new direction for research.Whether investment and profitability can effectively explain the stock return rate is the main content of this paper.This paper combines the literature of pricing vision,with the investment production formula and the first principle of investment in enterprises to study the impact of investment and profitability on stock return rate.Then using the Fama-Macbeth regression method to empirically analyze the data of A-share companies in Shanghai and Shenzhen stock markets,and conduct robust study on industry,cycle and market segment grouping.The empirical results show that both overall and in the industry,periodic or market segment group,investment and profitability have shown a significant impact on the excess return on stock,and in different industries,different periods,the impact of the two is different,while there is no significant change between different market segments,which is always significant.But in general,the influence of the two is not as good as the scale and book value ratio factors.This paper also refers to the previous research,adding the liquidity factor,Turnover rate,as a control variable,and then checks the impact of investment and profitability factors on stock excess return.So it can be proved that investment and profitability have a significant ability to explain stock returns,where the effects are negative and positive respectively,and the turnover rate cannot take away the explanatory power of these two factors.Based on the conclusions,this paper puts forward some policy recommendations,and this conclusion is helpful for further deepening research and practice of pricing model,also providing reference for investors.