Research On Stock Investment Risk In China's A-Share Market

With the rapid development of China's economy.the wealth of residents and society is increasing.In order to realize the preservation and appreciation of assets,more and more investors have allocated assets to stocks.Investors need to have a deep understanding of the risks of stock investment if they want to obtain good stock investment income.This paper studies the stock investment risk of China's A-share market based on factors affecting stock risk premium.This paper first analyzes and understands the pricing principle of assets,especially stock prices,based on the relevant theories of stock pricing and stock investment risk.A review of the theory of risk measurement,Fama and French multi-factor model and liquidity premium theory.Then it reviews the definition of risk,the measurement method of risk,the relationship between P/E ratio and turnover rate and stock investment risk,and the factors affecting stock risk premium of stock market.The risk of stock investment is defined as:the degree of loss of an investment and the probability of a corresponding degree of loss.A measure of VaR value and CVaR value as risk is deterlined.Four factors including price-earnings ratio,price-to-book ratio,market value and turnover rate were selected as research objects,and the relationship between these four factors and stock investment risk was studied.Subsequently,the data of all A-share listed companies in shanghai and Shenzhen stock markets from December 31,2005 to December 31,2017 were taken as the original samples.Grouped according to the characteristics of stock price-to-earnings ratio,price-to-book ratio,market value and turnover rate.Each group is a portfolio.Descriptive statistics and empirical analysis of the relationship between the price-earnings ratio,the price-to-book ratio,the market value and the turnover ratio of the portfolio and the VaR value,the CVaR value and the yield-to-risk ratio K.The empirical results show that the portfolio's P/E ratio,P/B ratio,market value and turnover ratio are significantly negatively correlated with the VaR value,CVaR value and yield risk ratio K of the portfolio.The above conclusions are drawn in the following cases:grouping by price-earnings ratio,price-to-book ratio,market value,and turnover rate,and eliminating abnormal groups.It shows that the portfolio with low P/E ratio,low P/B ratio,low market value and low turnover rate has the lowest risk and the highest yield-to-risk ratio.Finally,this paper puts forward some suggestions for stock investors to invest in stocks.