Market Structure and Stock Returns-Empirical Analysis by Dynamic Panel on Stocks of Rare-Earth Companies

摘要：

　　This article uses multi-phase analysis method to establish stochastic discount factor of future cash flow model on stock return rate, especially for the companies that employ capital investment as the main production factor.We find that the market structure factors three sub-factors, including raw material prices, inventories and companys size have an impact on stock returns.Taking the companies of rare earth in Chinas A-share stock market for example, we use dynamic panel model with the estimation method of system GMM, a total of 15259 observations of data for an empirical test.

关键词： Rare earth Market structure Stock returns dynamic panel data

作者: Liu Zhibo

作者单位: School of Finance, Renmin University of China, Beijing, P.R.China 100872

会议类型: 国际会议

会议名称: The 5th Conference on Chinas Economic Operation Risk Management(2011`Shanghai)(第五届中国立信风险管理论坛)

会议地点: 上海

会议语种:英文

页码: 186-195

在线出版日期: 2011-11-04（万方平台首次上网日期，不代表论文的发表时间）