摘要：China’s capital markets are not yet fully integrated into the world equity markets. Given the market segmentation, I investigate the relationships between financial ratios and short-term stock returns on China’s recently established Growth Enterprise Market (GEM). Based on regression results, among dozens of financial variables tested, the year-to-year revenue growth is found to be the most significant variable predicting a stock’s short-term performance in every sub-sample period. In contrast, neither the conventional measure price-to-book nor the newly proposed measure of gross profitability is significant. In addition, market capitalization does not behave in the familiar way found in developed markets. The evidence indicates that factors beyond the traditional size, value, or quality have strong explanatory power in short-term asset pricing behavior on the GEM.
其他摘要：China’s capital markets are not yet fully integrated into the world equity markets. Given the market segmentation, I investigate the relationships between financial ratios and short-term stock returns on China’s recently established Growth Enterprise Market (GEM). Based on regression results, among dozens of financial variables tested, the year-to-year revenue growth is found to be the most significant variable predicting a stock’s short-term performance in every sub-sample period. In contrast, neither the conventional measure price-to-book nor the newly proposed measure of gross profitability is significant. In addition, market capitalization does not behave in the familiar way found in developed markets. The evidence indicates that factors beyond the traditional size, value, or quality have strong explanatory power in short-term asset pricing behavior on the GEM.
