Applicability Analysis Of Multi-factor Model For A-shares And Hong Kong Stocks

As we all know,the multi-factor model is a quantitative expression of risk-return relationship,quantitatively portrays the risk exposure of stock returns on each factor,and studies the variation of factor yield from a statistical perspective,which can explain the equity premium well.At present,the multi-factor model is one of the mainstream quantitative investment models in the world,and its applicability to China's stock market has always been a hot issue in the field of quantitative investment in China.The Fama-French three-factor model is the basis of the multi-factor model,and its importance is self-evident.Domestic scholars have studied this model quite a lot,and most of them involve the applicability of the three-factor model to China's stock market.In this regard,from the three perspectives,this paper uses the latest data,multi-factor model as a stock selection tool,and conducts an exploratory study on the "mystery of equity premium." This paper makes a more detailed classification of the research samples,and selects five samples of SSE 50,SSE 180,SSE 380,Shanghai and Shenzhen 300 Index and Hang Seng Index constituents,and introduces fundamental factors to discuss multi-factor models in different spatial and temporal frameworks.The applicability of China's A-share and Hong Kong stock markets has resulted in more detailed and accurate results,and better explained the "mystery of equity premium." Then try to replace the book market value ratio factor in the Fama-French three-factor model with the P/B factor,and then use the revised model to continue to explore the applicability of China's A-share and Hong Kong stock markets.Exploratory analysis of multi-factor models through different samples and different time frames yields different conclusions from previous studies: “small market value effect”does not exist in the index constituent stock samples;the price-to-book ratio replaces the book-to-market ratio The stock excess return rate of the significant and high P/B ratio is highert.