The Analysis Of Statistical Pricing Model And Its Application In China's Stock Market

With the completion of share-merge reform, China's stock market is developing in the regular, healthy and perfect direction. But, there have been many deficiencies in investors'strategy and method of investment in our stock market. Therefore, looking for the practical method of stock investment and training the investor to form proper idea of investment are the problems waiting to be solved urgently. And it also is the main purpose of this paper.This paper is designed for five chapters. Introduction includes the purpose, content, study, innovation. Chapter one mainly introduces the development of the stock pricing model. Chapter two, the core of this paper, introduces the statistical pricing model in detail including the influencing factors on investor'strategy, putting forward this model, the method of investment strategy based on this model, comparing this model with other relating pricing models, and the study obstacles and restriction of this model. Chapter three makes demonstration research on this model and proves that it has stability and universality by back-testing with full use of the annual and quarterly financial statement of steel-stocks and Hushen 300 index stocks listed in China's stock market. Chapter four makes comparative analysis and also proves that this model has superiority, stability of income and universality. Chapter five is the conclusion of this paper.Five conclusions are drawn in this paper. At first by establishing the statistical pricing model based on steel-stocks and Hushen 300 index stocks with weighted least squares regression models, R2 all reach 0.99 on steel-stocks and Hushen 300 index stocks. Secondly, based on the steel-stocks and Hushen 300 index stocks, quantity of person's share in circulation, Earnings per share and ratio of gross profit are the significance factors on stock price, which reflect that there are speculate and investing factors generally. On the other hands, industrial Price/Earning (P/E) and net tangible asset per share are also the significance influencing factors in the Hushen 300 index stocks. Thirdly, this statistical pricing model has its advantage. The return, gained by making investment within steel-stocks and Hushen 300 index stock through this statistical model, are higher than that gained through dividend discount model (DDM) and the Price/Earning (P/E) model. Fourthly, the return, gained by this statistical model, has stability. All of the stocks, chosen by this model, are rising in some specific period, while those chosen by the other two models have some rising and also some falling, so the investors can avoid risks and gain stable profits by this model. Finally, this model has been widely used in our stock market. It can be used in both steel-stocks and Hushen 300 index stock, while by dividend discount model (DDM) and the Price/Earning (P/E) model we can't gain higher profits and even loss sometimes.The following three items are new contributions of this paper: firstly, this paper divides the factors, influencing the stock price in the secondary market, into investment factor and speculation factor. On the premise of stable policy environment and rising expectation, by establishing statistical pricing model on the stock price and the factors, we can find the main factors which the investors pay more attention to when estimating the stock value, and get the underestimated stock, and then find the practical methods of stock investment. Secondly, this paper adopt the back-testing and comparative analysis, not only testing the practicability of the investing strategy on this model, but also with making estimation of the stock price, strategy and back-testing by dividend discount model (DDM) and the Price/Earning (P/E) model, making comparison among the return of this three models, in order to prove that the statistical pricing model has superiority, universality and stability.