Research On Multifactor Pricing Model Of Chinese A-share Market Excluding Shell-value Pollution

When the stock market created the myth of "money never sleeps",it also accepted the curse of "greedy" and "madness".China's stock market started late,and the high threshold of market access and the large scale of small and medium investors are the important characteristics of China's stock market.Investors' irrational behavior exists objectively in China's stock market,and the stock return rate is contrary to the standard financial theory.The expected return of stocks is the premise and basis for investors to make investment decisions.It is very important to construct a reasonable asset pricing model suitable for China's stock market,to correctly understand the internal influence of market factors and investors' irrational factors on the pricing of China's stock market,and to improve the pricing efficiency of China's stock market.This research has very important theoretical and practical significance for grasping the operation law of China's stock market.Firstly,this paper analyses the trading behavior of non-listed companies which acquire listing qualification through backdoor or reverse merger due to market access restrictions in China.This paper holds that this trading behavior may cause "shell value pollution" to A-share market.After sorting out the backdoor or reverse merger from January 2008 to December 2018,it is found that shell resources mainly concentrate on small size company.Secondly,after excluding the stock data of small size companies,this paper constructs a stock portfolio and finds that there are still size effect,value effect and profitability effect in the A-share market from January 2008 to December 2018,and the profitability effect in China's A-share market is just the opposite of that in the U.S.stock market.Thirdly,this paper constructs the value factor of A-share market in China by using the earning-price ratio,and further constructs a CH-4 model including market risk premium factor(-),size factor(SMB),value factor(VMG)and profitability factor(RMW).Further analyses the ability of this model to effectively explain the excess return of A-share market from January 2008 to December 2018.It is found that explanation ability of CH-4 model to excess return is stronger than the traditional Fama-French style factor model.Finally,this paper constructs the investor sentiment index of A-share market and introduces it into CH-4 model as information condition.After further analyzing the effectiveness of the model in explaining the excess return ability of A-share market,it is found that the new CHIS-5 model is more powerful than CH-4 model in explaining the excess return of A-share market,and the influence of investor sentiment on China's A-share market does not exist time lag phenomenon.