An Empirical Study of the Relationship between the Listed Company Stock Returns and the Credit Rating
Department of Economics and Management, Harbin Institute of Technology, Harbin, China
Based on the analysis of stock price changes motives, we select five indicators (market systemic risk, book-to-market ratio, net income per share, net profit growth rate and size of the company) from the factors which affect stock yields, introduce the variable-credit rating, construct a multi-factor model which is suitable for China's stock market, study the relationship between stock yields of listed companies and credit rating. It was found that stock yields are negatively related to credit risk, and listed companies with low credit risk will get higher stock returns in the future than those with high credit risk.
Key words: listed company / stock returns / credit rating
© Owned by the authors, published by EDP Sciences, 2015
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