An empirical study on abnormal returns of listed co mpanies of Chinese pharmaceutical industry

This paper is based on the relative theories of div idend policy, uses the stock transaction data from listed companies of Chinese pharmaceutical industry, then constructi ng stock dividend and cash dividend portfolios and the composite price index. Thus we do empirical study w ith the using of CAPM, Sharpe ratio and Jensen inde x. As a result, the abnormal returns of the two pharmaceuti cal companies are significantly different，the stock portfolio is significantly superior to the cash, and the longer the holding periods, the more obvious the advantage s. And then we put forward the relevant suggestions.