An Empirical Study on Investors Sentiment and Stock Returns in Chinese Stock Market;

A Research on the Effect of Earnings Quality to Stock Returns;

The results show that the stable distribution is much better than the normal distribution in dealing with stock returns distribution with fat tail.

Investor Sentiment Cycle and Stock Returns:An Empirical Study of the Lunar Effect in China's Stock Market

Non-parametric estimations reveal that the fat tail of the distribution of stock return satisfies power law decay.

Research shows that stock return is the increasing function of the illiquidity variable.

This paper is to have an empirical research on factors influencing stock returns of listed companies in China through different industries and come to the conclusion that β is the most dominating factor influencing stock returns except one or two industries and it is negative linear correlativity with stock returns and most financial indicators have less impact on it.

The actual distribution of stock returns possesses the characteristic of steep peaks,heavy tails and skew, so traditional normal distribution cannot describe this characteristic any longer.

This paper conducts an empirical test on the industry effects of stock returns of listed companies in Shanghai and Shenzhen,with Kruskal-Wallis One-way Analysis of Variance by ranks,and gives the influence of industry effects on stock returns.