Value Elements, Environment Factors And Stock Pricing

As the high speed development of China securities market,people show incremental interesting in stock price and its influent factors.Stock pricing has been emerging as a hot topic in financial research.With the price research model,which embraces both the expected information and unexpected data,the paper focuses on the stock pricing and other factors' influence on stock pricing.By classifying influence elements into two categories,the paper does research from value elements and environmental factors respectively.In value elements research,first,this paper establishes a value model by selecting the value elements empirically as model's independent variables from earning index,development index and anti-risk index.Then the paper further chooses the dependent variables from different price variables.Second,research enters the modification of value model.The value model is modified by sample selection research,price leading accounting data research and season financial reports.The results of independent factors research include:EPS,CFP,BVP are the most important factors which have strong influence on stock pricing.EPS is the most important determinant key in stock pricing.The anti-risk index can not enter model as a value factor because the market system prefer price increasing only.The results of dependent variables research include:the price in December is suitable dependent variable for value model.Stock price can response to annual financial report quickly before it is released formally.The results of value model modification research includes:latest earning data has continual influence in current stock pricing.Stock price can response to future data even in weak efficient market.Reformed financial data has no role in value relevance in China.Season financial reports have strong influence on the stock price in April. The phenomena of stock price leading the change of financial data exists in China. Deficit sample has negative impact on the value relevance.The combination of value factors can exert stronger influence on the stock price. The environmental elements research is carried out by introducing market cycles, industrial types,firm scale and PE ratio into the three value elements model respectively.The results of environment research include:environment elements have strong influence on value relevance.Small scale stock,high PE stock and stock in bull cycle have higher pricing feature.For big scale companies,the price estimating of value elements is more reliable.For small scale companies,the estimation is weaker.The paper creatively uses PE ratio to indicate the investors' ideology about risk tendency in stock investment decision.With different risk tendency,investors show different favors to the financial information.The higher PE ratio,the more sensitive the stock price is,more reliable the price estimating is.This paper also inserts market cycles into the value models.The investors' ideology is strong affected by stock market cycles.It finds that the change of investors' behaviors followed the movement of the stock market cycles,but it shows a year lag behind.It also illustrates that stock price is more sensitive to the value elements in bull market cycle,but the price estimating of value elements is less reliable.In bear cycle,the situation is reverse.Adj-R~2 indicates the relationship between the value factors and stock price. Adj-R~2 of the value models are following:one value elements model's Adj-R~2 can reach 33.6%.Two value elements model's Adj-R~2 can reach 36.7%.Three value elements model's Adj-R~2 can reach 37.4%.One environmental variables three value elements model's Adj-R~2 can reach 78.4%.Two environmental variables three value elements model's Adj-R~2 can reach 82.5%.The triple environmental three value elements model's Adj-R~2 reaches as high as 84.0%.The above high level of Adj-R~2 results shows that strong relevance really exists between financial information and stock price.The basic financial studies can effectively affect stock pricing.The innovations of this paper are the unique analysis angle,the improvement of research methods and the latest data.