The Study Of The Excess Returns On High Stock Dividends Policy To Stock Price And The Influence Factor In The GEM

High turn theme has been one of the themes of the market speculation,but also one of the focus of academic research.The allocation policy of listed companies to carry out the transfer often have excess returns,the general concern is that the transfer behavior caused much market reaction,and the impact of excess returns generated.Investors always hope to use the available information about listed companies to determine the real market value of the company,and fully grasp the trend of the price changes,so as to make reasonable investment and gain excess returns.Based on this,this paper studies the stock excess returns and its influencing factors,hoping to provide a reference value for participants in the stock market.There are often a few different announcements of high deliveries and stock prices have different responses after several different announcements.Based on the closing index of the GEM,this article divides the GEM from June 2014 to June 2016 into three different market states: bull,bear and shock.Analyzed and compared the market response of the Announcement of Proposal,the Day of Shareholders' General Meeting and the ex-dividend day,and the market reaction differences of Announcement Day under different market conditions.Studied the difference between the short-term accumulated excess returns under different announcement days.Then,on the basis of summarizing the related research results,this paper selects nine indicators from four aspects: sending information,market and market valuation,fundamentals and financial characteristics,including the proportion of delivery,delivery time,turnover rate,Tobin Q value,book value to market ratio,net profit growth,market capitalization,asset-liability ratio and earnings per share,the use of multiple linear regression model and semi-parametric generalized additive model,focusing on three different market conditions,the selected features The impact of indicators on the cumulative excess returns form and extent.At the same time,the empirical results show that investors show the herding effect in the process of recognizing the stock value,some of the factors will be exaggerated in stages,and some of the factors have underestimated stage performance.The regression results of the semiparametric generalized add-on model show that in different market conditions,the cumulative excess return ratio is not exactly the same as the selected characteristic index,so investors should obtain the excess return of GEM Judge market conditions,fully understand the company sent information,market and market valuation indicators,indicators and financial characteristics of the basic indicators,on the basis of rational investment.At the end of the article,combined with the previous research,I put forward some suggestions from three aspects: the stock market regulators,the listed companies and the investors,hoping to promote the healthy and long-term development of the stock market in our country.