The Factors Of Long-term And Short-term Returns Anomalies In China's Stock Market

The real capital market is changing rapidly and unpredictable.For various phenomena and asset prices,domestic and foreign scholars have proposed effective market theory and capital asset pricing models.But beyond that,there are still many phenomena in the market that cannot be explained by related theories.Scholars refer to these phenomena as market anomalies,and endless empirical evidence shows that these anomalies are statistically significant..In the articles of Hou,Xue and Zhang(2015),80 significant anomalies in the stock market are grouped into six categories: momentum,value and growth,investment,profitability,intangible assets and transaction costs.Based on these,they can judge whether the Q-factor model proposed by them is more explanatory.In its subsequent paper(2018),they expanded its 80 anomalies to 158,and used this as a criterion to judge whether its proposed Q-5 factor model has better explanatory effect.The capital asset pricing theory continues to develop as the capital market grows stronger,and the continuous development of capital asset pricing theory further promotes the continuous improvement of the capital market.As of today,from the initial capital asset pricing model to the common multi-factor model to the Fama5 factor model,different scholars have summed up their different factor models from different perspectives of corporate finance and behavioral finance.And by examining the model's ability to interpret market visions to judge and test the pricing power of various factor models.This paper chooses the monthly and daily returns of all stocks of Shanghai and Shenzhen Stock Exchange A-share plus GEM(excluding ST shares and financial stocks)for 120 months from January 2008 to December 2017,as well as the company's quarterly and annual financial data.Firstly,this paper constructs several typical long-term and short-term anomalies of the market based on the summary of predecessors,and tests their significance in China's market.Based on the papers of ent,David and Lin(2018),this paper constructs the pricing model of behavioral factors and behavioral factors,and tries to judge the pricing ability of factor models by testing the explanatory nature of the model to significant market anomalies.This paper is a panel data with a long-time window.Firstly,we use Fama-Macbeth twostep regression to test the factors affecting the returns of individual stocks in panel data.Then we construct the corresponding factor model by imitating Fama-French and do time series regression.Firstly,this paper verifies that China's stock market is similar to the American stock market,and there are some short-term and long-term market anomalies.Secondly,this paper finds that market value,book-to-market value ratio,the growth rate of circulating shares of listed companies and the stock price drift effect after earnings announcement have significant effects on the return of individual stocks.Finally,through regression analysis of market anomalies,it is found that the behavioral factor model has a stronger explanatory power for most of the anomalies proposed in this paper in China's stock market,but it does not perform as well as the Fama factor model for some anomalies.