Research On The Changes Of Investment Anomaly In The A-share Market Under The Registration System Reform

Registration-based initial public offering(IPO)system is a major reform affecting the overall capital market in recent years.The trial promotion of the Sci-Tech innovation board,the Growth Enterprise Board and the Beijing Stock Exchange has achieved remarkable results with the efforts of all parties.This is an iterative upgrade of the basic system of the capital market,accompanied by constant changes in the market ecology,the Matthew effect of the market is becoming more obvious,capital is more willing to enter the blue chips and high-quality stocks,and the value of shell resources of listed companies has declined significantly.At the same time,the investor structure of A-shares is changing,with the proportion of individual investors gradually declining while the proportion of institutional inventors rising year by year.Therefore,this paper takes three common investment anomalies as the entry point to discuss the performance of market value effect,value effect and momentum effect in the A-share market under the old and new background,and closely relates to the new characteristics of the market under the new background to explain the causes.In order to explore the existence of investment anomalies in the A-share market,this paper uses the stock and company data of CSMAR from April 2007 to March 2022.Firstly,the three investment anomalies are verified respectively by the combination spread method including the multi-factor model.On this basis,the Fama-Macbeth regression method is used for the second verification.Under both methods,this paper includes the full sample period analysis,the sectional analysis around 2018,and the analysis after excluding30% of the lowest market value stocks with reference to the literature of Liu,Stambaugh and Yuan(2018).In order to further explore the influencing mechanism,multiple dummy variables including before and after the reform,whether shell companies,whether core companies are introduced in this paper.The analysis conducted in this paper leads to the following conclusions:(1)Under the background of the reform of registration system,the investment anomaly changes,the market value effect tends to weaken or even disappear,and the momentum effect tends to strengthen.(2)Since 2018,the capital market has increased the turnover,turnover rate and institutional shareholding ratio of core stocks,and the resulting increase in excess returns of core stocks and momentum enhancement explain the phenomenon of weak value effect and strong momentum effect of A stock market.In light of the findings presented in this paper,the following recommendations are put forward for regulatory bodies,institutional investors,and individuals.First of all,while promoting the reform of market system,regulators should capture the new changes occurring in the market,so as to strengthen investor education and provide correct and timely guidance to the market through supervision and other means.Secondly,institutional investors should be "rational investors" in the market,change the way of compensation evaluation,avoid group behavior.Finally,individual investors should keep the sensitivity to the market environment,update their investment strategies in time,and improve their scientific investment level,so as to achieve wealth growth.