| In recent years, many scholars at home and abroad have made a lot of theoretical and empirical research on stock market and have achieved a lot of scientific research achievements with theoretical value and practical significance. however, the change of stock market is difficult to predict, many situations have changed in the eighteen years'developments. With the continuous development and increasing regulation of China's stock market, the factors which influence stock investor's behaviors and stock returns have also become more and more complicated. A correct understanding of characteristics and factors of China's stock market will provide a reliable basis and scientific guidance for the establishment of a sound operational mechanism of stock markets and improve the level of investor decision-making.The paper theoretically analyzes the factors affecting stock returns from the macro level and micro-level aspects and summarizes research methods and research status on investment analysis from domestic and abroad. On this basis, we have an empirical research on the possible factors which may influence stock returns of our listed companies mainly from a micro aspect. We select 4 highly controversial factors which obtain not only those commonly concerned from domestic and abroad, but those rarely considered in domestic empirical research. We make use of one-dimensional and two-dimensional grouping method on empirical study and select 377 shares of listed companies to analyze the various factors on the impact of stock returns from Shanghai stock market from July 2007 to October 2008. Empirical study finds that there is not liquidity effect, but there is big firm effect as well as the phenomenon of idiosyncratic volatility puzzle on China's stock market. We hope that our Conclusion can provide some basis and reference for the establishment of a sound operational mechanism of stock markets and improve the level of investor decision-making. |
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