An Empirical Study on the Premium Effect of Chinese Stock Market

摘要

This paper makes an empirical study on the existence of the premium effect of Chinese stock market and screens four variables: risk, valuation, liquidity and trend that could cause the premium. Also, this paper supposes ten hypotheses between these variables and excess returns and these hypotheses are tested with multi-factor regression model by the Fama-MacBeth method. The found shows that there are the premium of risk, valuation, liquidity and trend in Chinese stock market