An Empirical Study On Monthly Effect Of Abnormal Return Of A-share Stocks In China

Efficient Markets Hypothesis(EMH)has been widely used as the cornerstone of modern financial theory in the asset pricing all along.According to this theory,the stock price has reflected all the available information,so the investor can not obtain long-term excess returns through proactive investment strategies.However,the financial "vision" which includes calendar effect?momentum effect?reversal effect?scale effect?index effect?book market value ratio effect is found in the effective capital market,the question and challenge of effective market hypothesis are put forward since then.Although China's stock market has developed for more than 20 years and achieved some success,but compared with mature markets in developed countries,there are still many problems,which also contribute to the anomaly in China.These visions are also the research hotspots of Chinese scholars,including the practical circles in recent years,especially the exploration and research on the existence and performance of the seasonality effect in China's stock market,and has made some achievements,and further promote the development of China's capital market.However,Most of the current research of China on the calendar effect imitate the traditional foreign research method that use the method of time-series regression and take the market index or the stock returns as the object of study.While in this way the results will be selected according to the sample period and the research method,sometimes the result is opposite.In addition,the current research in our country focuses on the realization of calendar effect.As far as its cause of formation is concerned,the explanation is mostly from the theoretical point of view,and it has not been tested empirically.This paper makes an empirical study on the existence and formation of the Seasonality of the excess return that is the most concerned thing for investors by borrowing the latest research methods from the foreign country on the return Seasonality and the actual situation of our country.First of all,this paper selectes the data as the object of study that is from 459 stocks which was Initial Public Offerings before December 31,1996 and its stage is January 1,1997 to December 31,2016.The simple descriptive statistical method and Dummy variable method are used to study the existence and concrete manifestation of the monthly effect of A-share excess return in China.Secondly,the existence of the monthly effect of the excess returns of stocks in different periods of observation was further examined using the one-dollar Fama-MacBeth regression.Then,in order to verify the source of the monthly effect,we extend the regression of the one-dollar Fama-MacBeth to increase the average excess return for the same month in the same period over the past 10 years,and compare this regression with the results of the regression of the one-factor Fama-MacBeth,The monthly effect of the excess return of the individual is derived from its expected return,not the residual autocorrelation.In order to further clarify the source of the monthly effect,that is,the quarterly change from the risk premium is entirely different from the company,we first based on the traditional 8 and the company characteristics related risk factors were built corresponding to the investment portfolio,Past the same month and different months of the portfolio to verify whether the corresponding risk factor has a monthly effect,and the results of the Fama-French three-factor model for testing.Then,a combination of calendar effects and a corresponding stochastic combination is constructed to determine the source of the monthly effect by comparing the fluctuation of the returns.Finally,we study the causes of the monthly effect of China's A-share excess rate through time series regression and cross-sectional regression.This paper draws following conclusions:(1)It is found that there is a significant monthly effect of excess market returns in China's stocks market,that is,significant positive returns in February and significant negative returns in twelve months;(2)The calender effect of individual stock excess returns come from the seasonal nature of the risk premium;(3)The traditional risk factors of macro risk can not explain the effect of the month;(4)The risk premium factors associated with the company's characteristics have a strong ability to explain the calender effect.