The Researcn Of "Low Price Effect" In China's Stock Market

More rational investment is generally in the following three sequences:look at the overall operation of the macro economy,select industries,and select companies.In reality,the investment process of investors may not be the case.Investors will choose stocks according to their own preferences.For example,they will prefer to buy stocks that have risen for several consecutive trading days.For example,investors will have preferences in certain industries.Because low-priced stocks have some excellent characteristics,such as:low prices,very few funds can participate in the trading of stocks,meet the psychological expectations of investors,low-priced stocks have limited space to fall and unlimited space,which leads to more and more The more participants joined the ranks of tending to buy low-priced stocks.In fact,will low-priced stocks bring excessive returns to investors?This paper starts with the previous transaction price of A-listed companies and the market value and price-to-book ratio of the company.It examines the combined rate of return based on price grouping in the Chinese stock market from January 1997 to December 20,2016.Law,FF five-factor regression,etc.,empirically conclude that there are low-priced stocks in China's stock market,and the reasons for the low-priced stocks have two reasons:First,based on risk considerations,the existence of mergers and acquisitions makes the Chinese stock market low.The second is from the perspective of behavioral finance-the nominal price illusion to explain the reasons for the existence of low-priced stocks in China's stock market.In detail,the research ideas of the main text mainly cover the following directions:(1)By using the relative standard method,the stocks in the whole sample interval are sorted according to the nominal stock price of the T-1 period,and 20%and 40%are selected.60%,80%of the quintiles,the stocks defining the top 20%of the vacancies are low-priced stocks,and the last 20%of the stocks are high-priced stocks,building a zero portfolio(the first 20%of the stocks minus the stocks)20%of the stocks),using the FF five-factor model to test whether the zero-investment portfolio has excess returns.(2)On the basis of price grouping,according to the characteristics of the company,that is,the size and growth of the company,the grouping indicators are the company's market value and price-to-book ratio.The grouping standard is the median,which is different.Under the characteristics,whether the Chinese A-share market shows a low-price premium effect.(3)In order to test whether there is a low-price premium in the same industry,select some representative industries to group and test whether the low-priced stocks have a low-price premium effect in the same industry.(4)In order to demonstrate the possible reasons for the low price premium of China's A-share market,this paper explains from two aspects,one is the nominal price illusion of behavioral finance;the other is the merger and reorganization of risk perspective.The specific approach is In the sample interval,the purpose of eliminating the merger and reorganization of stocks is to verify that if there is no restructured stock in the sample,construct a combination of low-yield yields and a combination of high-yield yields,and whether the zero-investment portfolio will have excess returns.Finally,based on the empirical conclusions of this paper and the unique characteristics of China's stock market,the reasons for the existence of low-priced stocks in China's A-share market and the corresponding policy recommendations are given.This article has some discussion on the validity of the Chinese stock market.After studying this article,it is found that the previous transaction price information of the company's stock and the company's public financial information can be used to predict the future earnings of the stock,indicating that investors in the market can obtain excess returns through historical information and public information.The market has not achieved the effectiveness of the weak and semi-strong.In terms of the phenomenon of low-price stock premium,the price of stocks will deviate from its intrinsic value.Investors can obtain excess returns by constructing a zero-investment portfolio.In terms of the price of low-priced stocks,the factors of mergers and acquisitions,China's stock market investment The investment strategy is relatively immature,and it is easily attracted by various concept stocks.The concept of value investment is neglected.Therefore,listed companies should take responsibility for helping investors establish a correct investment philosophy.Some social responsibilities;in terms of the price of the low-price stock premium-the nominal price illusion,in the analysis of financial theory,the assumption of a fully rational economic man in traditional finance theory is obviously problematic,so in the exploration of the causes of financial phenomena It is a good direction to think more about investor behavior.