An Empirical Study Of The Factors Which Influences The Return Of Shanghai And Shenzhen A Shares

In the traditional economic theory,the stock market returns can be complained by the capital asset pricing model and decided by the beta, which represents the system risk. But the domestic and foreign scholars researched the stock market performance of various countries and related theories in the following decades, they found that the stock market returns cannot be explained or predicted only by the beta values. Scholars put forward the abnormal situation of CAPM theory and this situation is called Anomalies. In the early study of abnormal situations, the three factor model proposed by French and Fama made a great influence. They found that the size of the company, book-to-market ratio had a great effect on the stock market returns. And they studied whether other factors such as price earnings ratio and leverage can make a effect on the stock market returns.In this paper, the author uses the Shanghai and Shenzhen A shares as the based sample, screens out part of the researched sample, verifies the validity of the three factor model in Chinese stock market. Also the author tries to introduce financial indicators such as accounts receivables, operating profit, net profit and the cash flow to verify whether the above indicators can predict the companies’ returns. This paper mainly adopts the research methods of empirical analysis and quantitative analysis, and quotes the fama-macbeth regression analysis. This paper uses great deal of panel data regression to ensure the reliability and exactness of the research.This paper found that(1)according to single factor regression analysis based on the total market value, the flow of the market value, book to market ratio, price, total assets-to-shareholder equity ratio, each factor alone can strongly explain the returns of Chinese stock market;(2)according to multi factor analysis, the total market value, book to market ratio and price can strongly explain the returns of Chinese stock market;(3)according to dynamic portfolio analysis, the total market value, book to market ratio and price can strongly explain the returns of Chinese stock market;(4) an optimization of processing the size, book to market ratio and beta value can make a stronger explanation to the returns of Chinese stock market;(5) accounts receivables, operating profit, net profit and the cash flow can predict the returns of Chinese stock market to some degree;(6) some indicators such as fixed assets cannot predict the returns of Chinese stock market.