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2019 | OriginalPaper | Chapter

Analysis on Excess Return and Risk of Individual Stock—The Case Study of China

Authors : Cheng-Yong Liu, Shih-Yung Wei, Xiu-Wen Ye

Published in: Wireless Internet

Publisher: Springer International Publishing

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Abstract

This paper discusses the excess return, January effect and condition of risk premium of individual stock in Shenzhen and Shanghai stock markets, combined with size effect and status of industry sectors. The results indicate that 103 listed companies in China have significant excess return, including up to 45.45% of these listed companies belongs to the financial industry. The risk of financial industry, however, is larger than that of the market. In other industry sectors, there exists relatively higher occurring of January excess return in hotel industry, food and beverage industry, transportation, warehousing and post services. This may be associated with the Chinese New Year Festival.

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Metadata
Title
Analysis on Excess Return and Risk of Individual Stock—The Case Study of China
Authors
Cheng-Yong Liu
Shih-Yung Wei
Xiu-Wen Ye
Copyright Year
2019
Book
Wireless Internet

Print ISBN: 978-3-030-06157-9

Electronic ISBN: 978-3-030-06158-6

Copyright Year: 2019

DOI
https://doi.org/10.1007/978-3-030-06158-6_29

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