An Empirical Study Of The Fama-French Five-factor Model Of The Shanghai And Shenzhen A-share Main Board Market

Since the establishment of China's securities market,market managers continue to regulate the relevant system of the market,investment philosophy and strategy of the stock investors are constantly evolving.The factors which affect the behavior of investors and stock returns are constantly changing and increasingly complex.It is of great significance to study the factors influencing the financing,pricing and resource allocation of the securities market after the reform of the stock market.In this paper,we select the market data and financial data of the Main Board in Shanghai and Shenzhen A-share market from May 2005 to October 2016,a total of 138 months as the research object,on the basis of Fama-French five factor model,according to the efficient market hypothesis and using the new method to construct five factors,and using the Fama-French method to construct the investment portfolio.The empirical analysis of the correlation effect is carried out between the three groups of 5x5 investment portfolio and three groups of 3x3x3 investment portfolio on the Main Board in Shanghai and Shenzhen A-share market,and the five factors are described as descriptive statistical and correlation analysis.Then the regression diagnosis of three groups of 5x5 investment regression model is carried out,according to the diagnosis of the five factors model to describe empirical analysis.Finally,through three groups of 5x5 portfolio GRS test,we find out the factor model which is suitable for the Main Board in Shanghai and Shenzhen A-share market recentlyThe results show that China's securities market has size effect,profitability effect and investment effect,in which the size effect is very significant,the profitability effect and investment effect are significant in a certain group,and the Chinese stock market still has some anti-value effect and anti-investment effect.The size factor,the value factor,the profitability factor and the investment factor have certain explanatory ability to the stock return rate.The four factor model with the market factor,the size factor,the value factor and the investment factor is more suitable for the Main Board in Shanghai and Shenzhen A-share market after the reform of the stock market.