Research On Influence Factors Of Stock Portfolio Risk Premium

Based on the differences in liquidity and information asymmetry between the Main Board and the GEM board,this paper discusses whether the liquidity factor and information asymmetry factor affect the risk premium of the Main Board and the GEM stock portfolio,and at the same time verify the applicability of the FF five-factor model in these two markets.Firstly,we review the theories of portfolio pricing development process from the portfolio theory of Markowitz(1952),the CAPM model,the three-factor model of Fama-French(1993,1996),to the five-factor model of Fama-French(2015a),along with the impact factors.With impact factors increasing,introduced the size effect,value effect,profit premium,investment vision,liquidity premium,information asymmetry premium and other related theories,and using the literature research method to summarize the research methods and conclusions of the seven controversial factors that have been controversial in domestic and foreign stock portfolio pricing research.To verify the impact of liquidity factor,information asymmetry factor and FF five factors on the risk premium of the Main Board and GEM stock portfolios,the first step is to use the Fama-French(1993)2×3 method grouping the two markets monthly trading data from January 2011 to December 2016,constructing the combined average rate of return,confirming whether there is a difference in the combined average rate of return between the different liquidity and information asymmetry combinations within and between the two markets;the second step is using Fama-French(2015a)method constructing the corresponding factor rate of return and using the mean t-test to confirm whether each factor has an impact on the portfolio risk premium;the third step is regressing the three-factor FF as a risk baseline model by adding new factors to observe the intercepts significant,confirming the influential factors;The fourth step,carrying on the redundant test among the influential factors,confirming the effective influence factors of the risk premium of the two markets stock portfolio separately.Finally,a multi-factor model regression was performed to observe its interpretation effect.After verification,it was found that there are differences in the combined returns of different liquidity within the Main Board and the Growth Enterprise Market,which are indeed affected by liquidity.However,there is no obvious rule of return between different information asymmetry groups,and the relationship between the combined returns of the two markets sector is relatively complex.The Main Board has size effect,profit premium,liquidity premium and information asymmetry premium,ie size factor SMB,profit factor RMW,liquidity factor LMQ,and information asymmetry IMD affect the portfolio risk premium;size effect exists on the GEM.As for the value effect,only the size factor SMB and the value factor HML have an impact on the risk premium of the GEM stock portfolios.The FF five-factor model does not apply to the Main Board and the GEM.The 2 × 2 × 2 method of robustness test in the Main Board,the conclusion is consistent.