An Empirical Study Of Stock Returns Based On Heterogeneous Beliefs

The stock market has always been the core of the financial market,and a sound stock market is the prerequisite for the healthy development of the economy.However,individual investors account for a large proportion in China's financial market,and there are huge differences among investors.One result is the deepening of heterogeneous belief in China's stock market.This phenomenon is not conducive to the long-term healthy development of China's stock market.It will cause stock market fluctuations and lead to the strong rise and fall of stock market,which will affect the normal capital allocation function of the stock market.Therefore,the study of heterogeneous beliefs has important practical significance.This paper studies the relationship between investors' heterogeneous beliefs and stock returns on the main board market and the GEM by using the methods of portfolio analysis,multiple linear regression analysis and cross section regression analysis.First,starting with Markowitz's portfolio theory,the classic fama-french three-factor pricing model was introduced.Thirdly,the heterogeneous belief of investors is introduced,and several index methods to measure heterogeneous belief are introduced.Then,taking the actual situation of China's stock market into consideration,the paper selected additional turnover rate to measure heterogeneous belief level,based on the Fama-French three-factor model,and took some stocks of China's main board market and GEM from July 2015 to February 2019 as samples for empirical research.And then,again with heterogeneous beliefs as the explained variable,market value and book value than the regression model is constructed for the control variables,the cross-section of stock returns regression analysis,research conclusion and portfolio analysis and multiple linear regression analysis conclusion is consistent,verified the investor heterogeneous beliefs has a significant influence on stock returns.Finally,some countermeasures and suggestions are put forward to reduce the degree of heterogeneous belief in the market.The study found that the applicability of the three-factor model in China's main board market is better than that in GEM.In China's stock market,the phenomenon of"small company effect" is obvious,but the value factor is weak in explaining the stock returns.Heterogeneous belief has obvious effect on the stock return rate of China's stock market.Specifically,the higher the heterogeneous belief level of the stock in the current period,the higher the yield rate in the current period and the lower the yield rate in the next period.On the whole,heterogeneous beliefs have a stronger effect on stock returns in the main board market than in GEM.