Empirical Investigation For The Influence Of Tobin's On The Stock Returns In China

With the constant development of China's stock market, the factors of market returns keep changing. In the historical background of the financial crisis, great changes take place in the factors concerning the stock returns. Meantime, Tobin's q value abnormal fluctuation draws the scholars' great amount of attention. After the subprime mortgage crisis, the Shanghai and Shenzhen stock average Tobin's q approximates to 1 with the callback of the Shanghai and Shenzhen stock index and even Tobin's q values for a lot of the stocks of listed companies are less than 1.Since 2007 Tobin's q by season changes a lot, Quarter of 2007, Tobin's q increase rapidly, after subprime mortgage crisis, Tobin's q after back quickly. This period company stock returns have waved abnormally, domestic and international numerous scholars in succession study on the influence of Tobin's q of abnormal volatility on the stock returns from different angles. Hence, it far-reaching significant to understand of the characteristics of China's securities market correctly, grasp the impact factors of the stock returns accurately and allocate the resources of China's securities market and investors rationally, and especially accurate grasp the influence of Tobin's q of abnormal volatility on the stock returns This article from the macro, industry and company these three level, analysis the influence factors of stock returns.This paper analyzes the factors that influence stock returns through the macro, the industry and the company these three aspects respectively. Focusing on Tobin's q, we analyze its correlation with the stock returns. On the basis of research methods, research models and research status about the stock returns no matter domestic or international, we analyze the factors affecting the stock returns based on these three levels empirically. Based on empirical analysis of capital asset pricing model (CAPM),and multi-factor model respectively, with time series, panel regression analysis and other means of econometric tests,591 shares of listed companies of the Shanghai Stock Market A in China through 2005-2010 are analyzed. Based on the results obtained via CAPM and multi-factor model, draw the following conclusions:First, Tobin's q value of the stock returns and the existence of a significant negative correlation; second, the occurrence of sub-prime crisis on China has an important influence on stock returns; third, the beta which describe the systematic risk has a negative correlation with stock returns, in contrast to the classical theory; fourth, China's stock market does not exist"small company effect";Fifth, the market turnover on the explanatory power of stock returns is weak. Finally, this paper makes some policy recommendations.