Empirical Study On The Impact Of New Third Board Stock Returns

As China's third-level securities market,the new third board occupies an important position in China's capital market.The institution promulgated one after another provides institutional guarantee for the status of the new third board:First,the new third board can deliver a large number of high-quality enterprises to the capital market which is more advanced than the new third board through the board system.From 2017 to the first half of 2018,there were about 29 enterprises that successfully transferred from the new third board,and most of them transferred to the second board;Secend,the implementation of the stratification system provides the valuation basis for the mergers and acquisitions of listed companies on the new third board,and stimulates the activity of mergers and acquisitions.Companies with certain scale and profitability in the new third board,or companies with potential in emerging industries and special industries,are seed companies acquired by the main board companies;Third,the introduction of the market maker system enables mar-ket makers to acquire shares through the national stock transfer system,private placement,and the transfer of shares before listing.This article selects the new three board market innovation layer of listed company of two years from 2015 to 2017 weeks data as sample,first using the Fama-French five factor model for empirical research,according to the result of regres-sion analysis of each factor to explain the stock yield degree,the results show that the scale factor and the carrying value than factor is significantly different from zero and positive,profit factor also is significant,but the market factors and investment factors are not significantly different from zero,show that the new three board market scale effect,the value and profit effect,but the investment effect and market effect is smaller.The intercept term is significantly different from zero,and the five-factor model cannot explain the change of the total return rate of the portfolio,that is,there are other factors that affect the change of the stock return rate.Secondly,this paper consider the macro factors,financial factors,17 may affect the indexes such as investor sentiment factors,on the premise of hypothesis has a public factor,combined with factor analysis and quantile regression,the 46 stocks,0.05,0.1,0.2,0.8,0.9 and 0.95 is divided into six point model,according to each stock the best public factor and R2 result of quantile regression model,show that factor number depends on the choice of site selection,through comparative analysis of public factor and R2,the size of the final four of the best public factor,They are respectively named as macro factor,operational ability factor,investor sentiment factor and solvency factor.Finally,five variables and four common factors in the five-factor model were established,and the panel data model was used for regression analysis to obtain the degree of influence of each factor on the stock return rate.The empirical analysis results show that in addition to market factors,company size,book-to-market ratio,profit factor,investment factor and four public factors have a significant impact on stock return.At the end of this paper,the results of empirical analysis showed that all factors except market factors had significant influence on stock return rate,indicating that company size,book-to-market ratio,profit factor,investment factor and 4 public factors had significant influence on stock return rate.Specific recommendations are as follows:First,investors should pay attention to the analysis of the intrinsic value of stocks,comprehensive analysis of all aspects of the index data,at the same time highly alert to risk factors,make the right investment decisions.Second,listed companies have a decisive impact on the stock market,and they should not deceive investors or release false information for temporary interests.Regulators should encourage the submission of quarterly and monthly reports,improve the transparency and openness of market information,and supervise and verify the information dis-closed to ensure the authenticity and reliability of information.The innovation:First,the "dimension disaster" problem is solved by using the factor-enhanced quantile model.Compared with the traditional factor analysis and least square method,the "non-normal distribution" problem of time series can be solved.Secend,based on the research and analysis of the applicability of the fama-french five-factor model,the panel data model was used to analyze the impact of five factors and extracted public factors on the stock return rate,providing theoretical guidance and quantitative methods for investors to make investment decisions on the new third board.