中国股票市场的收入持续性和困境效应

In this paper, in order to study whether the two company characteristics, the number of consecutive quarters with earnings higher than the same quarter a year ago and the industry-adjusted change in the number of employees, can also predict Chinese monthly stock returns in Chinese stock market, we adopted Fama-MacBeth regressions. Combined with the size and earning-to-market characteristics in Liu, Stambaugh and Yuan (2019) \'s Chinese three-factor models, we find that there are significant earnings persistance and distress effects in Chinese stock market by comparing the results of single-factor regressions and multi-factor regressions. In conclusion, the two characteristics, the number of consecutive quarters with earnings higher than the same quarter a year ago and the industry-adjusted change in the number of employees, do have a significant explanation for average Chinese monthly stock returns.