Stock Yield and Risk Characteristic Research of Listed Real Estate Companies in China

摘要

Under the financing difficulty and investment risk increasing background, the Capital Asset Price Model (CAPM) and the Fama-French Three Ingredients Model are improved from the view of industry and market; through the two improved models the paper uses the listed real estate companies' data to study the stock yield and the risk characteristic in China. The results of the research show that the two improved models can both explain the relationship between the stock yield and the risk, and the results also show that the system risk of listed real estate companies in China is in the decline tide but the stock yield isn't in the decline tide and fluctuates largely. From comparison of the demonstration results of the two improved models, the explanation of the Fama-French Three Ingredients Model is better than the CAPM, and this shows that there are more ingredients such as the size ingredient and so on have influence on the stock yield exclude the risk ingredient.