This paper selects the data of China's A-shares from 2001 to 2020
to study the premium effect of low-cost stocks in China's A-share market from
different sectors using multiple regression analysis. The research results show
that there is a premium effect of low-cost stocks in each sector of the A-share
market. The increase in the shareholding ratio of institutional investors and
the attention of analysts can reduce the premium effect of low-cost stocks.
JEL classification numbers: F832.5
Low-priced stocks, Premium effect, Excess return, Financial anomalies.