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The Relation Between Fundamental Variables and Stock Return of Shenzhen Stock Market

Jing Lu


Based on the Fama-McBeth model, this study tries to find out the relationship between β, size, Book-to-Market Ratio (BM), Leverage, Price-to-Earnings Ratio (PE), and Share Turnover Ratio (STR) with stock returns, by using data from the Shenzhen stock market from July 2014 to June 2019. The regressions show both similar and divergent outcomes to previous studies. β known as risk indicator seems to has no relation with average stock return while size, BM Ratio, leverage variables, Earning-to-Price Ratio and STR has strong relation with stock average return. Among that, size, total assets to book equity ratio and share turnover ratio are positively related to return, while BM Ratio, total assets to market equity ratio and positive earning-toprice ratio are negatively related to stock returns.


β; Size; BE/ME; Leverage; E/P ratio; Share turnover ratio; Stock return

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DOI: http://dx.doi.org/10.18686/ahe.v8i2.12984