Abstract: Taking Chinese Ashare listed companies as the research object， the impact of industrial and regional factors on high volume return premium were discussed. The average net returns of zero cost investment portfolios in each region and industry were calculated by using the stock returns before and after eliminating the industrial and regional effect respectively so as to examine the variation range of high volume return premium. The empirical results showed that the high volume return premium is ubiquitous in most of the industries and regions of the Chinese stock market. After eliminating the industrial and regional effect respectively， the high volume return premium is affected by both industrial and regional factors， and the industrial effect is more significant than the regional effect， which indicates that investors pay more attention to the abnormal industrial high volumes than the regional ones.

Key words: high volume return premium, industry factor, district factor, zero cost portfolio, stock visibilty