本文通过对2011年8月份上市的企业抽取样本,利用SPSS软件进行多元回归分析来测试不同影响因素对股票收益率的影响程度,得出结论:首先,净资产收益率、首次发行市盈率等对股票长期价格收益影响显著,其次,大多数新股走势呈现弱势,次新股时期略强一些但仍低于市场收益率,普通股票时期呈现出强于市场收益率的现象。 This paper tests the impact of different factors on stock returns by taking samples of companies listed in August 2011 and using SPSS software to conduct multiple regression analysis. The conclusions are as follows: First, the return on equity, initial public offering price, Long-term price gains have a significant impact. Secondly, most of the new shares are in a weak trend. While the second-share stocks are slightly stronger but still lower than the market rate of return, the common stock market has shown a stronger performance than the market rate of return.