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用2004年至2011年我国房地产行业的面板数据对上市公司资本结果对超额收益率的影响进行了实证分析。研究结果表明:上市A股的累积超额收益率随着公司的资产负债率和行业平均资产负债率的上升而降低。流通股市值与累积超额收益率呈正相关的关系,且十分显著,流动比率同累积超额收益呈负相关关系,但相关性不显著。控制变量中的经营效益因素与累积超额收益率的相关关系并不太显著,成长能力因素与累积超额收益率的相关关系比较显著,风险因素方面,市净率与累积超额收益率的相关关系比较显著,Beta系数与累积超额收益率的相关关系并不显著。
Using the panel data of China’s real estate industry from 2004 to 2011, this paper empirically analyzes the impact of capitalization of listed companies on excess returns. The result shows that the accumulative excess return rate of listed A shares decreases with the increase of asset-liability ratio and average asset-liability ratio of the company. The market value of tradable shares has a positive correlation with cumulative excess return, and is very significant. The current ratio is negatively correlated with the accumulated excess returns, but the correlation is not significant. The correlation between operating efficiency and cumulative excess return in the control variables is not significant. The correlation between growth ability and cumulative excess return is significant. For risk factors, the correlation between the net profit and cumulative excess return is relatively significant Significantly, the correlation between beta and cumulative excess returns is not significant.