## Description

## Problems

1. Please access Stock Trading, Financial Statements and Financial Indicators databases on CSMAR

and download the following data for all listed firms in the A-share market: (i) monthly stock prices,

stock returns, market value of tradable shares from Jan. 2000 to Sep. 2023; (ii) quarterly total assets,

total liabilities, earnings per share, ROA (return on asset), ROE (return on equity), R&D expenses

from 2000Q1 to 2023Q3; (iii) establishment date and market type. Then complete the following two

tasks based on the downloaded data.

(a) Manually derive monthly P/E ratios (stock price/earnings per share), monthly P/B ratios (stock

price/book value per share), quarterly R&D expense/total asset ratios and quarterly firm ages

(current date – establishment date).

(b) Provide summary statistics for monthly stock returns, P/E ratios, P/B ratios and quarterly ROA,

ROE, R&D expense/total asset ratios, firm ages by market type (i.e., main board v.s. GEM

board), compare summary statistics across two markets and discuss your findings. Note that

summary statistics should at least include number of observations, mean, median, p25, p75,

standard deviation.

2. Leveraging the data from problem 1, plot two time-series for median P/E ratio by market type. Then

analyze the following: (i) Is it advisable to consider new investments in either market as of Sep. 2023?

(ii) Given the P/E ratio figure, can you develop a trading strategy based on index ETF to make money?

3. The attached data file problem3_data.csv contains annual return on equity (ROE) and total revenue

for firms listed in the main board from 2011 to 2020 (excluding financial companies). Please use this

data to calculate annual median values for ROE and the total revenue growth rate for each year from

2011 to 2020.

Then plot two time-series illustrating the percentages of companies that consistently

maintain above-median ROE and total revenue growth rate over 2011 to 2020, respectively. Taking

ROE for example, in 2011, you determine the percentage of firms with above-median ROE (which

by definition is 50%); then in 2012, you calculate the percentage of firms with above-median ROE in

both 2011 and 2012, and continue this analysis until 2020.

Hints

1. For each table, CSMAR details variable name, unit and description in “Field Description and Sample

Data”.

2. The main board includes the SME board. The GEM board is consisted of ChiNext and STAR.

3. You may back out the total number of tradable shares for company i at time t with

Total # o f tradable sharesi,t =

Market value o f tradable sharesi,t

Closing pricei,t

.

Beware of the unit of market value of tradable shares on CSMAR.

4. Note that financial statements are usually reported quarterly while stocks are traded every trading day.

To construct monthly valuation measures, you may divide the closing price with the latest accounting

indicator. For example, you may construct the P/E ratio for company i at 2019m11 (i.e., Nov. 2019)

as follows:

P/E i,2019m11 =

Closing pricei,2019m11

Earnings per sharei,2019q3

.

5. You may exclude parent statements from financial statement and financial indicator data.

6. There may be multiple versions for certain earning capacity variables. You may choose one version

and rationalize your choice in your solution.

7. In Problem 3, you may focus on a (sub-)sample of listed firms with complete records of ROE and

total revenue from 2011 to 2020. The resulting two time-series should be decaying over time by

construction.