This dissertation tests the applicability of several CAPM model in Shanghaistock markets empirically and compares the empirical results between differentmodels, in an effort to figure out themost appropriate model which can best explainthe anomalies in the markets as well as having best applicability to the ShanghaiA-share market. Thedissertation also reflects what factors affect stock returns in thepricing meaning on the stock market of China. Firstly, this dissertation summarizesthe related research about the questions above。And then the dissertation figurs outthat the scale, book-to-market ratio and earnings price have significant influence onstock yield by applying the Fama-Macbeth test, and then divids the sample into fiveinvestment portfolios based on these three indexes and calculats the average stockyield of every portfolio according to the market capitalization weights. After obtainingthese indexes, the dissertation builds time series models to test the CAPM model,Fama-French three-factor model, Carhart four-factor model and LCAPM model.Finally, through comparing the fitting degrees and the ability to explain the threeextraordinary phenomenon of scale effect, book-to-market ratio effect and priceearnings ratio effect, the dissertation finds that the Fama-French three factor model isthe most suitable model for current stock market among the models considered in thedissertation, and the model also has the most strong power to explain the threeextraordinary phenomenon. |