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

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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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Acknowledgement

The paper is a periodical achievement of the 2018 school-supported scientific research program A Study on Liability Theories about Insider Trading of Financial Derivatives of Beijing Institute of Technology, Zhuhai (XK-2018-19).

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Authors and Affiliations

  1. Beijing Institute of Technology, Zhuhai, 519088, Guangdong, People’s Republic of China

    Cheng-Yong Liu

  2. Business School, Yulin Normal University, Guangxi, People’s Republic of China

    Shih-Yung Wei

  3. Yulin Normal University, Guangxi, People’s Republic of China

    Xiu-Wen Ye

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  1. Cheng-Yong Liu
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  2. Shih-Yung Wei
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  3. Xiu-Wen Ye
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Editor information

Editors and Affiliations

  1. National Taiwan University of Science and Technology (NTUST), Taipei, Taiwan

    Jiann-Liang Chen

  2. National Taiwan Normal University, Taipei, Taiwan

    Ai-Chun Pang

  3. Department of Industrial Engineering and Management, National Changhua University of Education, Changhua, Taiwan

    Der-Jiunn Deng

  4. Department of Industrial Engineering and Management, National Chiao Tung University, Hsinchu, Taiwan

    Chun-Cheng Lin

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© 2019 ICST Institute for Computer Sciences, Social Informatics and Telecommunications Engineering

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Liu, CY., Wei, SY., Ye, XW. (2019). Analysis on Excess Return and Risk of Individual Stock—The Case Study of China. In: Chen, JL., Pang, AC., Deng, DJ., Lin, CC. (eds) Wireless Internet. WICON 2018. Lecture Notes of the Institute for Computer Sciences, Social Informatics and Telecommunications Engineering, vol 264. Springer, Cham. https://doi.org/10.1007/978-3-030-06158-6_29

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

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-030-06157-9

  • Online ISBN: 978-3-030-06158-6

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