Research On Stock Return Rate Of Listed Companies In Steel Industry Based On Three-factor Model

As one of the most important capital markets,the stock market's performance not only affects the government and institutions,but also affects every investor.Therefore,the research on the factors affecting stock returns can be said to be the most popular research field,without mathematicians Put it in.The most classic is the CAPM model,which believes that in a balanced market environment,systemic risk is the only factor that affects stock returns.Although the CAPM model has a very great theoretical significance as a pioneering work in the study of factors affecting stock returns,But in fact the proof effect is difficult to satisfy.Afterwards,Fama and French incorporated the scale factor and book-to-market value ratio factor into the influencing variables,and proposed the famous three-factor model,which has a strong practical explanatory power,which means that systemic risk,scale,and book-to-market value ratio are The three most important factors affecting stock returns.With the increasing maturity of my country's stock market,domestic scholars have used the Fama-French three-factor model in the empirical test of my country's stock market.The research results show that the Fama-French three-factor model has a better explanatory ability for my country's stock marketIn view of the fact that the steel industry occupies an important position in China's economic development,the upstream involves the coal industry,and the downstream includes many important application areas such as the real estate industry and infrastructure industry.The steel industry is at the core of the entire industrial chain;Large state-owned enterprises are listed on the A-share market,and the steel industry occupies a very important position in China's stock market.Therefore,the research on the factors affecting its stock returns has great practical significance.By observing the monthly average stock returns of the four listed companies in the steel industry in 2015-2019,it is found that they have obvious scale effects.Therefore,this article decided to expand the research sample,determine the research object as a listed company in the entire steel industry,and use the CAPM model and the Fama-French three-factor model to explore the factors that affect the stock return rate of my country's steel industryThe article first sorted out the development process and research status of the capital asset pricing model,then conducted a theoretical analysis of the asset pricing model,and selected Baosteel and Jinzhou Pipeline for a case analysis,and then selected listed companies in the steel industry from 2015 to 2019.The rate of return data was analyzed empirically using the CAPM model and the Fama-French three-factor model.The results of the study show that the fit of the Fama-French three-factor model is better than the CAPM model.The Fama-French three-factor model better explains the volatility of the stock prices of listed companies in China's steel industry,that is,systemic risk The company size and book-to-market ratio are the three important factors that affect the stock returns of listed companies in China's steel industry.