총수익성 프리미엄: 중국 주식시장에서의 실증분석

Abstract

The main purpose of this paper is to examine whether gross profitability predicting the cross section of average returns using Chinese A share data over the period from 2005 to 2016. In contrast to the voluminous research in the US relating to the effect of profitability on stock returns, there has only limited research related to the Chinese capital market. Profitability measured by gross profits-to-assets in this paper. Empirical results show that profitable firms are shown to generate significantly higher returns than unprofitable firms do. Therefore, I conclude that there exists the gross profitability premium in the Chinese stock market.