| As a major feature of stocks,stock price level was generally considered neutral in the capital market in the past,that is,price can not affect stock returns,especially the efficient market hypothesis(investors can use possible information quickly and effectively when buying and selling stocks,all known factors affecting stock prices have been reflected in the stock price)after it was put forward,the stock price is even more important.It is easy to be overlooked.However,there is a common "stock price management behavior" in listed companies,that is,to reduce the stock price by increasing share capital,such as stock splitting,stock swap and stock offering,which attracts a large number of investors and attracts the attention of the media.The average price and median price of stocks increase slowly relative to market index and company market value in both American and Chinese stock markets,and even show a downward trend(Qiu Yu,2017).The trend of low-price index,medium-price index and high-price index compiled by Shenwan Index Company also shows a significant deviation,and the performance of low-price index is obviously better than that of medium-price index and high-price index.Price index,which seems to indicate that the stock price itself is not neutral.On the other hand,from the perspective of securities investors,the correct choice of the industry has a significant impact on the return on investment in the stock market.For investors,the development prospects of an industry is an important basis for stock investment.This paper introduces industry factors into the regression model,and analyses the influence mechanism of industry concentration,industry life cycle and industry scale on the premium effect of low-price stocks,so that investors can timely grasp the changes of industry market structure,select the right industry and improve investment returns.Firstly,this paper takes A shares of Listed Companies in Shanghai and Shenzhen as the research object,and mainly studies the premium anomalies of low-price shares.In terms of theoretical analysis,from the perspective of behavioral finance,it is believed that the anomaly of low-price premium in A-share market in China is due to the investor’s nominal price illusion.In the empirical test,we construct a multiple linear regression model and take the price level of a share as the pricing factor.Based on 222,192 months’ observation data of 2,155 A-share samples of Chinese A-share listed companies in 18 years from 2000 to 2017,we empirically test the existence of premium effect of low-price shares in Chinese A-share market from different angles.First,we test the existence of premium effect in the whole sample.And its sustainability;second,grouping test according to price ranking;third,testing under different market conditions.The test shows that there is a negative correlation between stock return and price level in A-share market in China,that is,compared with high-price stocks,low-price stocks have higher returns;this relationship exists significantly in different market conditions,and does not change with market changes;at the same time,the lower the price level of a share,the degree of negative correlation between returns and price level appears.The more obvious.In addition,this paper verifies that from the current period to the next 12 periods,this negative correlation exists significantly in each period,which means that there is a significant and sustained low-price stock premium in China’s capital market.Then,this paper studies the influence of industry characteristic factors on the premium effect of low-price stocks.By choosing industry concentration,industry life cycle and industry scale as industry characteristic variables,this paper introduces industry characteristic variables and stock price level into regression model to test their influence on the premium effect of low-price stocks in the industry,and finds out the industry.Concentration has a mitigating effect on the premium effect of low-priced stocks.The higher the concentration,the weaker the premium effect of low-priced stocks.The premium effect of low-priced stocks is consistent with the change of the industry life cycle,and the more obvious the premium effect of low-priced stocks is in the growing stage.The scale of industry also has a mitigating effect on the premium effect of low-priced stocks.The premium effect of low-priced stocks follows the industry scale.Expansion and gradual weakening.Through theoretical analysis and empirical test,this paper confirms the viewpoint of this paper.Through theoretical analysis,this paper reveals the fundamental reason for the "premium effect of low-price shares" in China’s capital market,that is,the investor’s nominal price illusion.In addition,this paper constructs an experimental model and uses a large number of empirical data to verify the "low price premium effect" of China’s A-share market.At the same time,the conclusion of this study also shows that some industry characteristics have a significant impact on the low-price premium effect,which provides a reference for low-price stock preferrers. |
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