An Analysis Of The Shanghai A-share Cumulative Abnormal Returns And Its Influencing Factors

With the improvement of operation mechanism and system construction of the stock market, people’s enthusiasm is growing. The ultimate goal of every investor is to obtain excess returns.They always want to take advantage of relevant information of the listed companies, then insight into the company’s past financial situation and results of operations, and determine the true market value of the enterprise, and fully grasp the stock trends. Investors make reasonable investment according to their analysis results, and obtain excess returns. On this basis, the paper combined with results of previous studies, studied the stock cumulative Abnormal Returns and its influencing factors, and I hope to provide a reference value for the participants in the stock market.According to the Shanghai A-share index closed, the Shanghai A-share market is subdivided into the bull market, bear market and volatility adjustment period from January 2005 to June 2014. By comparing the mean, the results show that cumulative abnormal return in the three market conditions has a significant difference, and cumulative abnormal return in the volatility adjustment period is the highest, followed by the bear market, bull lowest. Based on research results at home and abroad, This paper chooses six indicators from the listed company size characteristics, market valuation and financial characteristics, including total market value, price-earnings ratio, Tobin’s Q, book-to-market ratio, debt ratio and earning per share, then focuses on the form and degree of influencing of the selected characteristic indexes to cumulative abnormal returns in n the three market conditions, by using Multivariate Linear Regression Model and Semi-parametric Generalized Additive Model.The regression results of Semi-parametric Generalized Additive Model indicate that the relationship between cumulative abnormal returns and the selected characteristic indexes are not exactly the same in different market conditions. So, if investors want to get share excess returns of listed companies, investors should accurately determine the state of the market, fully understand the size of the company, capital structure and results of operations, and then make rational investment. Finally, combining with the above studies, the paper provides some suggestions from three angles including the stock market regulators, listed companies and investors, hoping to promote the healthy long-term development of China’s stock market.