Study on noise trading in Chinese stock market based on BAPM model

Excessive noise trading, especially those subject to administrative penalties listed noise traders in China´s securities market are very common. Selecting listed company Regulatory Commission administrative penalties, from January 2009 to June 2012 the yield of samples for analysis at the same time whichever is the corresponding line of the same industry matched firm to conduct empirical studies have concluded that noise traders Risk (NTR) and stock excess returns are significantly negatively correlated, significantly higher, then the investors to invest in such stocks are the greater the likelihood of loss.