| At present,China's economy is undergoing transformation and upgrading,and the capital market system is continuously improving.As a fast-growing emerging securities market,China's A-share market has made remarkable achievements in just a few decades.However,speculation,information asymmetry and violent volatility in China's securities market have also received widespread attention from investors.From the perspective of asset pricing,this paper attempts to use Fama-French five-factor model to explain the changes of cross-sectional returns of China's A-share market and try to find the factors that affect the excess returns of stocks.On this basis,the Smart Beta strategies of various categories applied in China's A-share market are formulated,and the back-test analysis is made.Combined with the development and changes of China's A-share market,the advantages and disadvantages of various categories of Smart Beta strategies are compared,and the reasons for the differences in the back-test performance of the strategies are given,so as to provide references and suggestions for China's A-share investors.This paper selects 168 months of data from May 2005 to April 2019 of all A-share stocks in China's securities market including Shanghai and Shenzhen Main Board,Small and Medium-sized Board and Growth Enterprise Market as the research object of the five-factor model.Through the annual financial data and market data of listed companies during this period,the five factors of market,scale,value,profit and investment are constructed,and the benchmark stock portfolio is established at the end of April of each year to calculate the excess return level of each portfolio.Then,we use the method of factor regression to explain the excess returns of different months in the combination and obtain the intercept term and the coefficient of each factor.In the empirical analysis,it is found that the scale factor has obvious positive significance,and the profit factor and the value factor will appear partially under certain circumstances.In the regression analysis of excess returns by factor combination,GRS test shows that the five-factor model has good applicability in A-share market.Specifically,the scale factor coefficient S and the investment factor coefficient C are positively significant,the profit factor is negatively significant,and the value factor coefficient H is positively significant in large-scale market value and high profit combination.According to the significance of each factor of the five-factor model in the A-share market,the Smart Beta strategy with preset stock pool in Shanghai and Shenzhen 300 index and China Securities 500 index and different trading periods is formulated,including the Smart Beta strategy with single factor of scale.The profit single-factor Smart Beta strategy,the investment single-factor Smart Beta strategy,the scale-profit-investment multi-factor Smart Beta strategy and the scale-value-profit multi-factor Smart Beta strategy are tested and analyzed from January 2008 to June 2019.It is found that the return rate of many Smart Beta strategies starts to decline after 2015,while the return rate of multi-factor Smart Beta strategies of scale-value-profit starts to rise at this period.comparing the differences of the composition of various strategy factors,it can be found that with the rapid inflow of foreign capital and the tightening of regulatory policies,China's a-share market is changing from being dominated by retail investors and public funds to a securities market in which institutional investors have gradually increased their voice,from focusing on the expectation of performance improvement to focusing on the certainty of internal value and performance growth.Finally,this paper suggests that China's securities market policies should adapt to the changes brought about by the rapid development of A-share market,further improve the multi-level capital market system,strengthen supervision and encourage investors to establish value investment concepts. |
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