An Empirical Study On The Impact Factors Of Equity Risk Premium Of China Shanghai A-shares Based On The Fama-French Five-Factor Model

The improvement of the system,the vast of the system,and the opening of the market have brought the development of the Chinese stock market into the fast lane.On the one hand,the improvement of the capital market provides a better platform for the effective allocation of funds,which will help the development of the real economy.On the other hand,with the increase of the per capita national income level,the economic development will reach the mid-to-high end level.The concept of consumption and investment has also gradually changed.In addition,internet finance has simplified the investment process.Investment and wealth management has become a topic of common concern to the people.Stocks are also hot assets in investment products.Compared with the stock markets of developed countries,the Chinese stock market has a clear overestimation trend and the volatility is even more pronounced.Domestic and foreign researches on the capital asset pricing model are quite a lot.Since Markowitz put forward the investment portfolio theory in 1952,the asset pricing theory has begun to form a system,from the single factor capital asset pricing model under strict assumptions to the single factor model with relaxed conditions.To the development of the multi-factor arbitrage pricing model,more and more Factors have been included in the study of asset pricing.Among them,the market is widely recognized and applied by the three-factor model proposed by Fama and French in 1992.In 2014,based on the actual performance of financial markets and research results of others,Fama and French are the foundations of the three-factor model.Taking into account the profitability factor and investment style factor,the FF five-factor model was constructed and demonstrated by the empirical test of the US stock market data compared with the three-factor model.However,the FF five-factor model proposed has a short time,and there is still little evidence and application in China,and the existing research results are different because of the selection of sample data,the construction of impact Factors and investment portfolio,and the empirical results are not all the same.,has not produced relatively consistent mainstream conclusions.Based on the FF five-factor model,this paper uses time series regression analysis to empirically test the risk premium of A shares in China's Shanghai stock market,and discusses the applicability of FF five-factor model in China's stock market.Based on the FF five-factor model,this article selects quarterly A-shares from the Shanghai stock market from January 2007 to December 2017 and refers to the FF five-factor model to construct the investment portfolio and impact Factors.The theoretical basis for each factor is as follows:The applicability of the Chinese market was analyzed,and an empirical test of the risk premium of the A-share equity of the Shanghai-Shanghai stock market was conducted using the time-series regression analysis method to explore the applicability of the FF five-factor model in the Chinese stock market.The full text is divided into four parts.The first part describes the background of the research topic,puts forward specific problems to be solved,and the purpose and significance of the research.Through the study of the literature,the research ideas and methods are combed;the second part discusses the FF five-factor model in Shanghai,China.The applicability of the city's A-share market,determine the selection conditions of the sample data and the specific research objects,construct a portfolio of two-dimensional taxonomies and three-dimensional taxonomy and describe and analyze its characteristics,and pass 3x,2x2,2x2x2x2 The classification method constructs five Factors as explanatory variables;the third part regresses the time series data of the constructed investment portfolio and influence Factors,and analyzes the regression results;the fourth part summarizes and forecasts the analysis of the full text.First of all,from the perspective of the effect of the regression,the three-factor model and the five-factor model are applicable to the interpretation of the risk premium of the A-share portfolio in China's Shanghai stock market,and the model fitting effect is good.Secondly,from the intercept term of the regression,although the five-factor model is improved compared to the three-factor model,the existence of the intercept term is a five-factor model,means it fails to capture all the changes affecting stock returns.Therefore,the three-factor model and five-factor model can only explain a certain degree of change in stock returns.There are still more potential factors to be searched and studied.Finally,judging from the coefficient of regression,China's Shanghai A-share market has significant scale effect and certain value effect.For the two factors of profitability and investment style,the role cannot be negated,and their applicability should be analyzed in combination with different investment portfolios.