The Trading Strategy Study Of The A-stock Market Based On Fama-French Model

With the continuous development and improvement of Chinese financial market,the investment behavior and the influence factors of stock returns has become moreand more complex. A correct understanding of Chinese securities market operatingcharacteristics and the influence of slock returns, along with deep understanding ofthe various types of historical stock returns,has a certain’ significance for investorstrading strategy.This articlc use the quarterly data as the study sample, and choose the last d’aystrading data of January, April, July, October, in tlie company oi’ the quarterly andannual reports currently before the April30announcement, three quarterly until Oct.30announcement. Based on the selection of data as the study sample, the industryfaces a wider distribution, more representative, as well as the characteristics of ChinaA-shares listed on the high issue price, the company is listed lor a long time in thevalue of the return process, enterprises in the continuous development of the shareprice continues to fall，Shenzhen motherboard apparently docs not have such adrawback, Shanghai motherboard, Shenzhen SME board, the GEM does not havethose advantages.This paper makes an empirical study of the inlfuence factors of stock returns inChina from the microscopic point of view. We set the Shenzhen A shares market boardlisting Corporation shares as the sample,the book to market factor and the si/e of thecompany (th’e companys total market value) of two risk factors as the basis, thescreening ol’ the powerful function of Hxcel as tool, with the help of cross group weget9stock portfolio; Fam a-French three factor model as the theoreticalbasis,econonietrics, statistics on stock returns rate and book to market ratiorelationships between factors, scalc factor and the market factor analyses, the outcome is，the stock market as a whole does not exist excess returns, but as to different typesof companies, the historical return difference is obvious, and the factors affecting theyield were also different, one factor, may have different effects for different types oflisting Corporation,This paper also compared the characteristics of different types of tradingstrategies on the market, the author drawed a conclusion that if we choose a kind ofcomprehensive company with nice fundamentals, excellent historical return as theinvestment s’ubject, well found that the portfolio yield was significantly higher thanthe market index.In the case of the Shanghai Composite Index fell5.47%over the same period,the Shenzhen Component Index fell8.74percent, the CSI300Index fell7.34percent,and return of the strategy designed in this paper for the same period was7.82%.Apparently strategy designed in this paper can obtain excess return.Strategy designed in this paper compared with other strategies discovered thatthe strategy yields based on Fama-French model also significantly higher than theother strategies. Then this paper, analyzed the steady gains，and found that thesequence was non-stationary by time series analysis, indicating that this strategy hascontinued to gain stability earnings.Next, Fama-French Model was simulated andfound to run simulations yield convergence with the actual operation, butsignificantly more than the yield of the CSI300Index,The trading strategies.Thetrading strategies based on the Fama-French model have small lfuctuations and highearnings.While taking into account of whether the stock-picking strategy is generaland persistent, using data from August2013to October2013，and to authenticateagain, get the same result.