Fama-French Three Factor Model And Its Extended Model On The Empirical Test In China GEM’s Stock Return Rate

With the development of world finance in recent years, asset pricing theor y developed continuously, and plays a more important role. How to determine t he reasonable prices of financial assets right, as many scholars continued work on it. The three factor model proposed by Fama and French in1992, is an imp ortant theory of factors influencing stock returns.China’s growth enterprise market officially opened in2009October, after5years of development has become an important capital market. Discussion on th e development of China’s GEM, whether to conform to the theory of Western science, pricing, and whether there are unresolved issues, on the GEM market sus tained and healthy development is very important. The correct analysis of the r isk factors affecting the stock returns, but also has important practical significa nee for the rational investors.This article through to the GEM market in China in2011-2013stock sam ples using Fama-French three factor model for empirical research, discusses the influence factors of scale factors and market factors, the value of stock returns of size, and further into earnings factors, analysis of three factor model is applica ble to the GEM market in China, and the excess return of the expanding the mo del whether can better explain stock. Through empirical testing, found that thre e factor model on the whole of China’s gem is suitable, which affect the bigges t market factor, size factor effect, the last is the value factor. Join the factor of pr ice earnings ratio, model of the whole explanation ability has been further stren gthened. This paper also puts forward some problems at present our country GE M still exist, and put forward relevant policy suggestions.