Invalid Behavior Of The Market In The Main Theoretical And Empirical Analysis Of The Impact On Stock Prices

Chinese securities market is a fast developing market, so it is not very efficient. Classical assets pricing theories are not applicable in Chinese markets. Prices of stocks are not decided only by profitability and basic value. Traders' behavior influences the prices of stocks. This dissertation analyzes the influencing factors of stock prices using classic assets pricing theories and modern behavioral finance theories. The analytical aim is the Shanghai market. The theories in the dissertation include traditional corporate financial theories, classical assets pricing theories, behavioral finance theories, professional arbitrage theories and so on. In this dissertation, we discuss the applicability of these theories and the influence of these theories on stock prices.The structure includes: Preface; Chapter 1, we review EMH and some assets pricing theories. Chapter 2, we review market microstructure theory. This theory uses Bayes rule and rational anticipation as analytical tools. According to this theory, the prices of the market are very efficient. Chapter 3, we review behavioral finance theory. In the securities market, investor sentiment can influence the prices. Chapter 4, we describe several kinds of traders' behavior. These traders include mutual funds, listed firms and analysts. And their behavior may influence the prices. Chapter 5, we analyze the effect of arbitrage. Chapter 6, we analyze the data of Shanghai market. And we analyze the overreaction and underreaction in Shanghai market in chapter 7 and chapter 8.The conclusions are as follows.1. Not only financial index but also traders' behavior can influence the prices of stocks. 2. Traditional financial theory can explain the difference among stock prices. We can anticipate the price of one stock by dividend discount model, P/E model, and capital structure theory. 3. Several factors can influence the prices of stocks. The size can have negative impact on the price of one stock. Other factors, such as capital structure and the time from IPO can influence prices.There is no overreaction and underreaction in short term in Shanghai market. In long term, overreaction does exist in shanghai market. So contraian strategy can be profitable in long term. The number of stocks in the portfolio we analyze and4. the length of test period also affect the conclusion.5. When we consider IPO of stocks, long term overreaction still exist in the market. Small size stocks are apt to overreact in shorter term. Stocks with low volume may be apt to underreact in short term and overreact in long term, though stocks with high volume still overreact in short term and long term. The main innovations of this dissertation are listed as follows.1. We analyze the influencing factors of stock prices by using several kinds of financial theories. These theories include traditional corporate financial theories, classical assets pricing theories, behavioral finance theories, professional arbitrage theories and so on.2. We analyze the data of Shanghai stock market. We construct a regressive model. In this model, we use the price as an dependent variable, and use other factors as independent variables. By analyzing the numerical value of the regression coefficients, we can know how these factors influence prices.3. Based on current research literature, we analyze the underreaction and overreaction in Shanghai market and discuss the profitability of momentum strategy and contrarian strategy.4. We discuss influence of many factors on underreaction and overreaction in the market. These factors include size, volume, value and so on.