Research On The Impact Of Cash Flow Factor On A-share Yield

The Chinese stock market has been in existence for nearly 30 years since the establishment of the Shanghai Stock Exchange and the Shenzhen Stock Exchange in the early 1990 s.Although there have been many setbacks on the road of development,there has been no stopping.Strong support for China's 40 years of economic growth since the reform and opening up.However,we must also clearly understand that the Chinese stock market is still unsound,especially in terms of pricing,which is the focus of academic circles.In the course of the research,we found that the West has formed a relatively mature theory of capital pricing.From the classic CAPM model of quantifying market risk in the 1950 s to the question of the single market risk of the CAPM model,the APT arbitrage pricing theory of multi-factor model was proposed.Finally,the Fama-French three-factor model emerged in 1993,the market factor and the book market value.The ratio factor and market value factor are integrated into one model to explain the return on assets.After a long-term demonstration,the Fama-French three-factor model has been widely used in western capital markets for the estimation of yields and influencing factors such as stocks,funds,convertible bonds,and the management and evaluation of risks.However,there is a certain difference between the Chinese capital market and the mature capital markets in the West.There is no relevant short-selling mechanism in China's capital market.Investors are mainly retail investors.Therefore,whether the Fama-French three-factor model,which is effective in Western capital markets,can explain the current situation of A-share yields.In general,mainstream scholars believe that the Fama-French three-factor model can still have a good interpretation space in China,but it is not complete.Based on this,this paper studies the influencing factors of A-share stock returns during 2008-2018.Due to the existence of the value of China's Shanghai and Shenzhen A-shares in the shell,the interpretation effect of the mainstream factor in asset pricing will be destroyed.Therefore,this paper adjusts the stock sample to eliminate the stocks with the least pollution of 30% of the market value.At the same time,according to the theoretical analysis of accruals and financial flexibility,it is found that companies with higher operating net cash flow can obtain more stable and sufficient internal resources.This kind of internal funds can be unstable in China's external financing.It will significantly enhance the financial flexibility of enterprises and increase their ability to resist risks and make more valuable investments in a negative economic environment,thereby enhancing corporate value.Therefore,based on the Fama-French three-factor model,this paper attempts to introduce cash flow factors and compare the applicability of the three-factor and four-factor models in A-shares.The results show that after adding the cash flow factor,the model has further improved the fitting degree of A-share stock returns.The cash flow factor regression coefficient is more significant in some stock portfolios,especially for blue-chip stocks.A certain investment reference significance.