The Empirical Analysis Of Applicability Of Models On Real Estate Stocks In China

To realize the equilibrium asset pricing is a important issue in modern finance.This paper chooses weekly return of real estate stock during2011-2013in China stock markets as sample. According to the method Fama and French to divided portfolio,we put the sample stock into six investment portfolios.Then we test CAPM,the FF CAPM, the four-factor model of short-term momentum factor,the four-factor model of long-term momentum factor,the four-factor model of PE ratio,the five-factor model of short-term momentum factor and PE ratio with the least square method.Considering that PE ratio is widely used in stock investment, we constructed the four-factor model of PE ratio,the five-factor model of short-term momentum factor and PE ratio with the method that Carhart constructed momentum factor. With the regression result of the model by the least square method, this paper analyzes the way that factors work on China’s real estate stock market and the applicability of the models in China’s real estate market.From the empirical analysis of this paper we can draw the following results.(1)The market risk factor β have a significant effect on real estate stock market in China.(2)Low BM effect and big scale effect are existed in China real estate stock market.(3)Short term momentum effect locally exists in China real estate stock market while long term momentum effect has no marked impact on stock yield.(4)The influence of P/E ratio in real estate stock market is remarkable.The results above indicate:(1)CAPM, the FF CAPM have a good applicability in real estate stock market.(2)The four-factor model of short-term momentum factor can locally explain the yield of real estate stock.(3)Compared with the CAPM, the FF CAPM, the four-factor model of PE ratio has a better explanatory power.(4)the five-factor model of short-term momentum factor and PE ratio has the best explanatory power among all these models.