An Empirical Research on the Relationship Between Credit Rating and Stock Returns
This research analyses the factors which affect the changes of stock price,then builds the multifactor pricing model which is applicable to Chinese stock market.We introduce the credit rating variable into the model,and study the relationship between the stock returns and the credit ratings of listed companies.We selected financial data of 104 listed companies in 2012 and eliminate some listed companies which have missing data,and ultimately obtain valid data of 97 listed companies.Empirical study finds that during the study period,the stock returns of listed companies with low credit risk are higher than that with high credit risk.Namely,stock returns are reverse changed with credit risk.
credit rating stock returns regression analysis
WANG Yong JIANG Shan
School of Economics and Management,Harbin Institute of Technology at Wehai,Weihai,China,264209
国际会议
大连
英文
98-102
2013-06-29（万方平台首次上网日期，不代表论文的发表时间）