Analysis Of Factors Affecting Stock Returns

From now on, many researchers at home and abroad have done a lot of theoretic and empirical studies on stock market. Whereas there are different kinds of research perspectives in the direction of different purposes, such as the research on the need of management on the system construction of stock market, the research on the need of investor on the explanation for the market phenomena and the factors influencing the stock returns. The predecessor obtained many scientific research achievements with theoretic value and practical significance in the process of study, however, the change of stock market is quick and unpredictable, and many situations have changed in several years' development.The Chinese Securities Supervisory Association promulgated "Notice of Stockholder's rights listed company Pilot reform Related Question" on April 29th, 2005, the issue of this document announced that the reform of listed stockholder's rights mounted cylinder in our country will start to carry out. The reform of mount of the stockholder's rights urges the benefit of the major stockholder and the minority shareholder tends to be consistent, whether factors of influencing stock returns change or not under this situation?This paper aim at studying the main factors that influence stock returns in china after the reform stockholder's rights mounted cylinder completes, applying econometrics's multiple linear regression and factor analysis, the author will empirical test and analyze 607 listed companies as samples in 65 weeks from Jan.2006-Apr.2007, meanwhile the author anticipates providing certain instruction and help to make Chinese investor invest rationally. Because there are many factors of influencing stock returns, this paper will mainly analyze factors that influence stock returns from macroscopic, the intermediate perspective and the microscopic three aspects.Make sure the conclusion of this study will have positive reference significance to improving the own quality of listed company and the investment decision of investor.