부산대학교 도서관

With the development and regulation of China's stock market, the factors which influence investor's behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and the characters of our market will have a far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance.In this paper, the factors affecting stock returns were theoretically analyzed from the macroscopic view, industry and microscopic view and the research methods, research models and research status on the investment analysis at home and abroad were summarized. On this basis, first of all, the stock returns from 2006 to 2011 were empirically studied from the macroscopic view and industry. It turned out that 38% of changes of stock returns could be explained through the macro factors and 13.6% of changes of stock returns could be respectively explained through the industry factors, which showed the industry factor was one of the most important factors affecting stock returns and the industry factor’s impacts on stock returns were more discrepant among different industries.At the micro level, 17 indexes including β value and financial indexes reflecting the company’s profitability, growing ability, debt paying ability, capital expanding ability, asset operating efficiency and other aspects were selected in this paper. In the empirical study, the theoretical framework with multi-factor model was applied and the cross-section regression method and econometric test approach were combined, and 359 public companies in Shanghai securities market of China during this period, from May 2010 to May 2011, were analyzed. Subsequently, the factor analysis method was used to investigate the each factor’s impact on stock returns. The result showed that the growing ability and β value of company had the most significant factors impact on stock returns. It was yet found in the analysis results that the index at the micro level had hardly impact on stock returns. This will provide some references for our continuously perfecting the Chinese stock market, while we are querying the information disclosure system in the Chinese stock market.Key Words: Stock returns, APT, CAPM, Factor analysis