Construction Of Mispricing Factor And Validity Test

With the advent of the era of big data,the potential investment income of the stock market is explored through computer programming,and a quantitative investment strategy that can obtain excess returns is gradually becoming the mainstream of domestic capital market investment research.China's capital market is increasing in size,transaction types and trading systems are constantly improving,and investor trading behavior is becoming increasingly rational.The domestic market has created a good growth environment for the development of quantitative investment.Traditional funds that invest through subjective experience judgments are also gradually transforming their direction of vectorization.Finding effective Alpha factors has become the focus and difficulty of current investment research.Through the analysis of trading data on the market and the actual experience of stock investment,it can greatly promote the improvement and improvement of pricing theory.The market has been continually appearing to obtain long-term excess returns.It has promoted the improvement of the academic pricing theory system and the improvement of the pricing model.The mutual advancement of the two fields has continuously improved the pricing efficiency of the capital market.China has the particularity of the share-trading reform.In the past,the domestic literature analyzed the performance of each model under the full sample.However,the factor models most suitable for the Chinese market in different periods may be constantly changing.Li Zhibing proposed to study the model of mature foreign markets in China.The applicability should be studied mainly on the sample after the share reform.Based on the sample data of all A-shares in Shanghai and Shenzhen from January 2007 to June 2018,this paper uses Stambaugh et al.to use 11 kinds of visions to comprehensively rank the wrong pricing factors to construct a wrong pricing factor suitable for the domestic market.And the error pricing model,and the pricing level of the pricing model containing the wrong pricing factor in the A-share market was verified.This paper is divided into three steps:one is to study the market vision of constructing the wrong pricing factor;the other is to study the validity of the wrong pricing factor constructed by the vision ranking;the third is to include the wrong pricing factor.The pricing model is studied in the applicability of the A-share market.Empirical research has found that the market vision of constructing wrong pricing factors abroad is not all significant in the A-share market,and other illusions in the A-share market can also be one of the factors that constitute the wrong pricing factor.Adding a wrong pricing situation that can make the constructed factors better in the reaction market;when verifying the validity of the factors,it is found that the wrong pricing factor constructed by the comprehensive ranking of the vision can better explain the cross-sectional income difference of the stock,the factor is The performance of backtesting on the market is second only to market factors and scale factors;the pricing model with wrong pricing factors has a higher pricing level than other models.In this paper,the model research in the industry segmentation section finds that the risk factors of each sector are different,the different factors have different pricing effects in the industry segmentation,and the error pricing model has better performance in the sector pricing.Whether the expected return reflects market risk or mispricing,the factor pricing model plays a certain role in the market.The wrong pricing factor captures the systemic risk that investors require to compensate,or can capture common sources of mispricing.Mispricing seems to show commonality between stocks.When we extract these common factors to construct new factors,the factors can better reflect these mispricing.This paper takes the domestic A-share market as the research object,and uses the constructed error pricing factor to conduct simulated trading in the market.Through quantitative trading backtesting,a large number of simulated trading tests are carried out to verify the effectiveness of the factor.This paper studies the applicability of the pricing model containing the wrong pricing factor in the A-share market by comparing the Fama-French three-factor model(FF-3),the Carhart four-factor model(C-4),and the Fama-French five-factor model(The pricing levels of the FF-5),Hou,Xue and Zhang four-factor model(Q-4)and the error pricing factor model(M-4)verify that the pricing model with incorrect pricing factors can better explain the stock market vision.The research in this paper provides a new reference for the study of factor exploration and pricing models in domestic investment and academic fields.