Research On Stock Risk Factor Pricing Based On Historical Highest Return

Although the highest return is the historical performance of stocks,but because investors use historical returns to test the effectiveness of investment strategies,resulting in stock selection bias based on historical returns,and thus led investors to prefer stocks with higher historical returns,and history Stocks with lower returns must have a higher risk premium before they can be selected by investors.Therefore,the highest historical income will eventually play a role in the asset pricing process,just like the company's size,book value and market value ratio.This paper proposes to use the historical highest monthly yield of stocks to construct the historical highest return risk factor as the risk pricing factor of stocks.This factor is different from the listed company's characteristic factor or market risk factor.It is based on investor behavior habits and represents investors.The cognitive risk of stocks caused by behavioral bias.This paper firstly sorts out and analyzes the research situation of domestic and foreign scholars on asset pricing and related important theories,and has a general understanding of the development of asset pricing at home and abroad.Secondly,based on the A-share information of all normal listings in Shanghai and Shenzhen from January 1,1996 to December 31,2017,the historical highest-risk risk factor was constructed.Finally,the Fama-MacBeth cross-section method is used to empirically analyze the capital asset pricing model,the Fama-French three-factor model and the historical highest-yield risk factor.The study found that the cross-sectional test of historical highest-risk risk factors is significant.The four-factor model with the highest risk-return risk factor is better than the capital asset pricing model and the Fama-French three-factor model.The factor is significant,and can be used as a risk factor to explain the income of Shanghai and Shenzhen A-shares.Combining the three factors can better reflect the stock price fluctuations in China's Shanghai and Shenzhen stock markets.The discovery of new risk factors is beneficial for investors to correctly and comprehensively judge the factors affecting stock returns,so that investors can obtain greater benefits,and at the same time,through the optimal allocation of resources,promote the healthy and stable development of China's stock market.