| The securities market has played an increasingly important role in the Chinese economy.There are more than 3,000 companies listed on the Shanghai Stock Exchange and the Shenzhen Stock Exchange,with a total market value of more than60 trillion.China’s securities market has become one of the largest securities markets in the Asia-Pacific region.On June 21,2019,shares in Chinese security market were officially included in the MSCI Emerging Markets Index.More than 200 large-cap stocks listed on A-shares will be included in constituent stocks,which indicates that the status and role of A-shares in the global securities market is becoming increasingly important.Many scholars have conducted empirical tests on whether the classic investment theory widely recognized by the domestic scholars from the securities markets of developed countries is also applicable to the A-share market.However,at present,Chinese scholars mainly use the entire securities market as a research sample to test,lacking in-depth research on specific industries.This article mainly divides the industry classification into light assets and heavy assets based on the operation mode of enterprise assets.The judgment is mainly based on the ratio of production assets to total assets and the ratio of fixed asset to operating profit.The lower the former,the closer it is to asset-light operations,and the lower the latter,the closer it is to asset-light operations.Through preliminary screening of 28 industries in Shenwan’s first-class classification,the Real Estate industry,the Steel industry,Pharmaceutical & Biological industry and Food & Beverage industry were selected.Taking into account the similar operating models,the model conclusions are more stable.The beverage manufacturing industry mainly includes alcoholic beverages and soft drinks,both rely on the core competitive brand value to obtain excess returns,especially the high-end liquor in the Chinese market,which is a typicalrepresentative of light assets.The article first reviews the development history of modern investment theory,from Markowitz’s portfolio theory to the asset pricing model CAPM,the widely used Fama-French three-factor model,the Carhart four-factor model and Fama supplemented with other risk factors-French five-factor model.In terms of ease of use and explanatory power,the FF three-factor model is better used domestically,and the five-factor model has not significantly improved the explanatory power of stock excess returns.The data used in this article are the stock transaction data and financial statement data of the Shenwan first classification 801120.SI,801150.SI,801180.SI and801040.SI index constituents from January 31,2013 to December 31,2019.The empirical study of the Fama-French three-factor model in The applicability of the two representative industries of light assets and heavy assets is as follows;the heavy asset industries represented by real estate and the light asset industries represented by beverage manufacturing have large market value effects and low book value ratio effects;Fama-French The model is applicable to both asset-heavy and light-asset industries;market risk factors have the strongest ability to explain stock excess returns,followed by market value risk factors,and their book value is the weakest in explaining stock excess returns.The sample data selected in this article is related to the national economy and the people’s livelihood,and it is also a market hot spot,having received the attention and pursuit of a wide range of individual investors and institutional investors.Due to the limitation of capacity and ability,there is no comprehensive promotion for verification about whether it can be extended to each industry in the field of light assets and heavy assets,especially for the 5G industry in the hot market segment of2020,which is worthy for further empirical inspection. |
