| The sound development of the capital market plays a crucial role in the well-being of a country’s national economy.The increase in the efficiency of capital allocation is conducive to the sound development of the capital market.The fundamental issue of studying the efficiency of capital allocation is to study how assets are correctly priced It is precisely because of this that research on asset pricing models has been widely concerned by the academic community.Among them,the A-share market is the main representative of China’s capital market,and its role has gradually changed from being the government-led type that initially solved the financing difficulties of state-owned enterprises to the market-oriented type that finds the value of high-quality companies and promotes efficient capital allocation.From the perspective of foreign scholars,the classical CAPM model was introduced in 1964,and the Fama-French five-factor model officially proposed in 2015.This shift from a single-factor model to a multi-factor model has brought stock returns to the US stock market.The research on the factors affecting the rate is more comprehensive and accurate,and the strength of the model’s interpretation of the cross-sectional stock returns has been continuously strengthened.Due to the late start of China’s capital market,most scholars’ researches on the factors affecting the domestic stock yield are based on the Fama-French three-factor model proposed in 1993.The research directions are more to explore the foreign asset pricing model in China’s stock market.The applicability.Few scholars in China have used their own risk factors to explore asset pricing models that are more applicable to China’s capital markets.Based on this,this paper selects the period after the completion of the share reform in China(July 2007 to October 2017)as the sample interval of the study.First,it tests the applicability of the latest Fama-French five-factor model in China’s A-share market.Furthermore,previous studies have found that investors tend to adopt different investment strategies in bull and bear markets.Therefore,the paper further tests the robustness of the relevant conclusions of the Fama-French five-factor model in the context of bull market and bear market.Next,this article draws lessons from domestic scholars’ research on China’s capital market,according to certain principles,selects the cash flow stock price ratio factor and audit cost ratio factor,and adds them to the Fama-French five-factor model to construct two six factors.The model tests and compares the Fama-French five-factor model and the two six-factor models,and explores whether the two six-factor models in the A-share market in China will have more explanatory power than the Fama-French five-factor model.improve.Finally,this paper uses the Fama-French five-factor model as a stock selection basis,and uses a factor scoring method to construct a portfolio.It compares the portfolio yield with the Shanghai-Shenzhen 300 index’s yield rate to verify that the Fama-French five-factor model is useful in practice.Sex.The above studies have played a complementary role in the study of past asset pricing models by Chinese scholars.At the same time,this article helps investors to clearly identify the various factors that affect the cross-sectional stock returns,making it possible for investors to combine the theory and practice to construct stock portfolios that can obtain higher investment yields and to obtain excess returns,while also promoting The efficiency of resource allocation in China’s capital market has continued to increase.This study found that:(1)The Fama-French five-factor model can better explain the risk premium of China’s A-share market,and the average explanatory capacity of each subgroup explained variable is as high as 95.93%.(2)Under the full sample test,the relationship between risk factors and stock returns in the Fama-French five-factor model is basically the same as that of the US stock market.Small-cap value portfolios have a positive risk premium compared to large market capitalization portfolios;portfolios with high book-to-market capitalization ratios have a positive risk premium compared to portfolios with low book-to-market capital ratios;high profitability portfolios have low profitability compared to portfolios with high profitability.There will be a positive risk premium in portfolios;a positive risk premium will occur for a robust portfolio of investments compared to aggressive portfolios of investments.(3)Under the bullish and bearish background,the relationship between each risk factor and stock returns in the Fama-French five-factor model is basically the same as in the full-sample test,but the Fama-French five-factor model is explained in the bearish market.It is significantly higher than the explanation in the bull market.(4)The two six-factor models formed by adding a risk factor on the five-factor model respectively have slightly increased the ability to interpret China’s A-share market compared to the Fama-French five-factor model,and added to the cash flow stock price ratio.The six-factor model of factors and the six-factor model with the audit cost ratio factor have an average explanatory power of 96.10%and 96.18%respectively for each vision.(5)Based on the Fama-French five-factor model,the two six-factor models consisting of the cash flow stock price ratio factor and the audit cost ratio factor are added.The cash flow stock price ratio is lower than that of the cash flow stock price.Higher-risk portfolios have positive risk premiums;portfolios with higher audit-cost ratios have a positive risk premium compared to portfolios with lower audit-cost ratios.(6)The comparison of the Fama-French five-factor model,the six-factor model of adding cash flow stock price ratio factors,and the six-factor model of adding audit cost ratio factors to the ability to explain the risk premia of China’s A-share market.In this paper,based on the comprehensive comparison of GRS test P value,the number of regression intercept items significantly different from zero,and the regression average adj.R2,we believe that the six-factor model of adding audit cost ratio factor to China’s A share market The strongest.(7)The yield rate of the investment portfolio based on the Fama-French five-factor model is far higher than the yield rate from July 2007 to October 2017,and its holding period yield can be up to 200%within eight years. |
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