| In the sixties of the 20th century, while it analyzed the relationship between the security risk and the return, the Capital Asset Pricing Model (CAPM), on the basis of security investment portfolio theory, put forward the pricing method of the security. The theory has succeeded in enduring the econometrical tests for more than ten years. However, at the beginning of the eighties, many foreign scholars found a series of anomalies that can not be explained by CAPM in their empirical researches on the security return. Fama and French wrote an article for the Journal of Finance in the year of 1992. They thought that P is unrelated to stock return. This view is strongly against the key thought of CAPM and directly against the Efficient Market Hypothesis (EMH). Whether to overthrow the classical pricing theories or to perfect it in line with the development of capital market has still been under the intensive discussion by the academic circle home and abroad till today.With the growing development of China's capital market for ten years, it has been an important part of the Chinese socialist market economy. Along with the development of China's capital market, the study works on development of China's capital market by the Chinese scholars were deepening step by step; on the basis of introducing and studying the advanced theory and method abroad, they have done a preliminary research on China capital market as well as put forward some meaningful proposals. One of the issues that catch more eyes is the relationship between the risk and return in stock market. Furthermore, that the basic factors affected the stock return has become the highlight study issue in recent two or three years. No doubted, it has the very important theoretical and practical significance in how to analyze the risk factors that affect the stock return of the China's security market.The core of this thesis is the empirical test on the relationship of many kinds of risk factors and stock returns in the Shanghai Stock Market. The purpose is to show the actual relation between risk and return in the present stage of China's stockmarket. We rank stocks and make portfolios according to various kinds of risk factors from 1997 to 2002, and test in method of cross-sectional regression. We find that # and stock and portfolio returns lack significant relation, on the contrary, two easily measured variable, market equity and book-to-market equity, combine to capture the cross-sectional variation in stock returns. This conclusion proves that the size effect and value effect exist in Shanghai Stock Market during the research period of this thesis. Therefore, we suggest that ME and BE/ME should be included into the set of risk-proxy indexes in today's China's security market.This thesis consists of four parts. The first part introduces the starting point, relevant documents and the meaning of study; the second part mainly introduces the estimation method of factor model and the means to measure the significance of the factors, and then illuminates risk factors considered by the thesis; the third part is to testify the empirical data on quality and quantity respectively and draw conclusions; the fourth part is to make a rational analysis on the result brought about by this very empirical test. Behind the fourth part comes the final conclusion. It points out that there are much to be desired and provides some further ideas.One characteristic of this thesis is to account for issue by combining the qualitative analysis with quantitative analysis. It is not only simple to be practiced but also easy to be understood. The other characteristic of this thesis is to try to integrate foreign theory and method with practices in china and to analyze return risk factors peculiar to our country in accordance with our uniquely distinct characteristics in china's security market. However, because of my limited knowledge and lacking of the overall understanding of the study category on the china's security market, the study on some questions is not adequate an... |
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