The Three-factor Model, Empirical Research In The Chinese Securities Market

With the development and regulation of China's stock market,the factors which influence investor's behaviors and stock returns have become more and more complicated. To get a thorough understanding of these factors and the characters of our market will have a far-reaching significance in establishing a healthy running mechanism, improving the quality of listed companies and providing investors with reliable information and scientific guidance.The paper theoretically analyzes the factors influencing stock returns from different aspects. On the basis of that, we have an empirical research on the possible factor which influencing stock returns of our companies listed in ShenZhen stock markert from a micro aspect. Our research uses multifactor model combined with cross-section regression and econometrics, test the FF three-factor model of security portfolios and industry portfolios.We found the model which established by Fama and French is suitable for Chinese Stock Market.Then we test the so-called'new-year effect'. We drew the conclusions that the m/L and b/L portfolios have the'January effect'and the m/M portfolio has the'February effect'.The coefficient of three-factor Model is an important systemic risk guideline of investment object. We research the stability of the three-factor Model by using chow test and research the coefficient stationary by using unit root test, and forecast the coefficient of the model using ARMA,GARCH model. The results show that the model is instability in the long run, most coefficient is non-stationary, and we can preferably forecast the coefficient by using the ARMA,GARCH model.In the process of designing strategic investment portfolios and the strategic risk budgeting prevailing in resently which in order to control investment risk, the investors generally structure their portfolios in different industries. So we also attrempt to test the industry three-factor model, we found the model is suitable for Chinese Industry Stock Market. Then we test the'month effect'. At the same time, we research the coefficient stability and the forecast ability of the modelWe apply the industry three-factor model to industry investment practice, and...