An Empirical Study On The Influencing Factors Of A-share Excess Returns

The theory of asset pricing is a theory of how to value assets,and its development process reflects the progress of financial economics to a certain extent.Markowitz(1952)proposed the theory of portfolio selection,quantified the benefits and risks of assets,explained the principle of decentralization with mathematical proof,and became the founder of asset pricing theory.Sharpe(1964)and others proposed a capital asset pricing model(CAPM)to reveal the valuation method of assets based on the theory of portfolio selection.Later,many literatures confirmed that CAPM could not perfectly explain the change in return on assets.Fama and French(1993)proposed a three-factor model to explain size effect and value effect.Subsequent studies have found that the three-factor model cannot explain new financial anomalies,Fama and French(2015)proposed a five-factor model to explain profitability effect and investment effect.The applicability of the five-factor model in the Chinese market is still controversial.In order to verify the applicability of the five-factor model in the A-share market,we choose the monthly yield data and financial data of Shanghai and Shenzhen A-shares as the empirical research sample of this paper,including main board of the stock market,Small and Medium Enterprise Board and Growth Enterprise Market from July 1997 to June 2018.We construct stock portfolio and five impact factors following the methods of Fama and French(2015),and empirically test the average yield of monthly stock portfolios of different combinations,and conduct summary statistics and correlation analysis on impact factors.The mean regression test is used to test the coefficient significance based on the Fama-French five-factor model.The regression results show that the market factor and the size factor coefficient are significantly different from zero and positive,the market factor and size factor have significant effects on the excess return of the stock portfolios,the value factor is partially significant,and the profitability factor and investment factor are weaker.The regression intercepts are significantly different from zero,and the five-factor model does not pass the GRS test,indicating that the five-factor model cannot fully explain the change in the excess return rate of the stock portfolio in the A-share market.The traditional mean regression does not fully grasp the effect of factors on the overall rate of return distribution,and it is easy to miss some important information.The biggest advantage of quantile regression is that a regression model can be established for any of the quantiles of the distribution to study the relationship between the rates of return and factors.This trait makes the quantile regression have great application value in the multi-factor model.In addition to being able to explore the factor effect masked by the mean regression,investors can also sort all the stocks and build portfolios based on the predicted value of the yield of different quintiles.In order to study whether the influence of factors on the stock excess return rate will change under the different market conditions,we use the quantile regression method to test the coefficient significance.The regression results show that the market factor and size factor have a significant and positive impact on the excess return ratio of different stock portfolios at different quantile,while the value factor is partially significant,and the significances of the profitability factor and investment factor are weaker.The coefficient of the market factor increases with the increase of the quantile,and the coefficient of the size factor rises and then decreases with the increase of the quantile.Finally,this paper presents relevant recommendations for markets and regulators.