Research On Influencing Factors And Comparison Of China's A-share Yield

China's stock market has gone through nearly 30 years of development,with its overall scale continuously expanding and its operation mechanism optimized and improved.With China's economy entering the "new normal" in 2013,the market presents new operational characteristics and patterns.After a brief bull market from July 2014 to June 2015,the stock market collapsed sharply and there was a serious liquidity crisis.Only in 2016 did the stock market gradually stabilize and investment returned to rationality.Because the return of A-share market fluctuates greatly before and after the stock disaster,it is a research topic with both theoretical significance and practical value to compare the differences of the impact of various factors on the return.This paper combines the frontier theory of international asset pricing with the reality of China's stock market.From the perspective of Fama-French five-factor model,it uses the latest empirical data and charts to analyze the influencing factors of stock investment yield.The empirical part is composed of the stock returns yield which was collected from all the A-share listed companies in Shanghai and Shenzhen during 2013 to 2018,72 months in total.According to the financial indicators,the five dimensions of market,size,valuation,profit and investment are constructed in groups.The latest Fama-French five-factor model proposed in 2015 is used for time series regression to verify the applicability of the model in China's A-shares market and further compare the difference characteristics of each factor in the two stages before and after the stock market disaster,and summarize the characteristics.Full sample regression results represent that all the factors of market risk factor,size factor,book-to-market ratio factor,profitability factor and investment style factor have some certain explanatory power.In Chinese stock market,there exist size effect,value effect,benefit effect and investment effect,among which the size effect is the most significant.The phased comparison result shows that factors being more prominent in the stable period of stock market than that in stock market downturn.The value effect and investment effect begin to appear in the later period of the stock market disaster.At the same time,the abnormal characteristic of negative profit effect disappears,and the value of large-cap stocks is gradually recognized,reflecting the change of investment style from speculation to value investment.