R&D Investment, BM Effect and Stock Return Rate:Evidence from China’s GMB Listing Corporation Data(PDF)
《南京师大学报》（社会科学版）[ISSN:1006-6977/CN:61-1281/TN]
- Issue:
- 2014年05期
- Page:
- 41-
- Research Field:
- Publishing date:
Info
- Title:
- R&D Investment, BM Effect and Stock Return Rate:Evidence from China’s GMB Listing Corporation Data
- Author(s):
- YIN Hai-yuan
- Keywords:
- R&; D investment; book to market effect; overreaction; growth enterprise market
- PACS:
- -
- DOI:
- -
- Abstract:
- Using the data from China’s GEM(growth enterprise market)listing corporations, we verified the presence of BM(book to market)effect on different types of stocks, and then through analyzing the R&D investment intensity and risk factors, we analyzed the explanatory power of BM effect on stock returns. Our analysis shows that, after controlling the effect of scale and risk factors, the stocks of the GEM corporations show a BM effect, but at the same time R&D investment intensity has an inversely relationship with the BM effect. Secondly, BM effect can explain the return of stocks which have different intensity of R&D investment, but the explanation degree is various and the lower R&D investment has bigger explanatory power. Further analysis shows that the ability of BM ratio to explain stock returns comes from the reversal effect on profitability rather than from the risk factors.
Last Update: 2014-10-05