The Influence Factor Research Of Abnormal Return In Chinese Stock Market

The research on stock abnormal returns mainly concentrated on the existence andinfluence mechanism of size effect and value premium effect.Therefore this paperuses three factors model to calculate the abnormal stock return, and study otherabnormal factors’ influence on stock abnormal return from five angles.This paper use three factor model to study the stocks from Shanghai stock exchangeande Shenzhen Stock Exchange.First of all, this paper uses the three factor model tocalculate each stock’s monthly normal return from January2001to December2011,then subtracted with the actual income to get abnormal return.Secondly, usingthe abnormal return risk factors from five angles,this paper classified the stockabnormal returns and research how different risk factor affects stock’s abnormalreturn,in the meanwhile,this paper contrasts the result by the mean of cross sectionregression and explain the nuances of the two different method.The result of thispaper shows that the anomalous returns associated with net momentum,stock issuesand accruals are pervasive and robust,they show up in all size groups (micro, small,and big) in cross-section regressions, and they are also strong in sorts, at least in theextremes. The asset growth and profitability anomalies are less robust. There is anasset growth anomaly in average returns on microcaps and small stocks, but it isabsent for big stocks.There is an profitability anomaly in average returns on bigstocks, but it is absent for microcaps and small stocks.Finally, this paper research thatwhether the effect of risk factor on stock abnormal return is different across the sizegroup, after studying the internal change of abnormal return and risk factor and usingthe Wlicoxon rank test,we find that only momentum affects stock abnormal returndifferently across size groups, and other risk factors do not exist such differences.