Research On Stock Return Based On Three-factor Capital Asset Pricing Model

Since the reopening of the Shanghai Stock Exchange and the establishment of the Shenzhen Stock Exchange in 1990,China's stock market has played a vital role in Chinese economic and society after 28 years of development.There were 3,626 companies listed on the Shanghai Stock Exchanges and Shenzhen Stock Exchanges by April 5,2018,with a total market capitalization of 61,966.70 billion yuan.Chinese stock market has become one of the largest securities markets in the Asia Pacific region.Domestic academic researchers have carried out many empirical tests on whether the classical theoretical models that have been widely verified in mature markets are applicable in China,but the domestic research status is that the CAPM is preferred in empirical research.The empirical research of the Fama-French three-factor model mostly stays at the level of the whole stock market,there is a lack of research on specific industries,and there is a lack of comparison between the three-factor models applied between different industries.This paper will empirically test the Capital Asset Pricing Model and the Fama-French three-factor model to explain the stock data of the food and beverage industry and the real estate industry separately,and compare the differences between them,so as to more deeply understand the characteristics of Chinese stock market.The reason for investigating stocks in the real estate industry is that the real estate industry has become a pillar industry in Chinese economic development in the past 10 years.The development of the real estate industry is related to the sustainable development of economy,and it has also become the key to maintaining social stability.As one of the ‘three carriages' of China's stock market,real estate stocks have always been the backbone of China's stock market,constantly promoting the advance of China's stock market.After Chinese economic growth has entered a new stage,expanding domestic demand has become a new direction of policy.As an important area of household consumption,food and beverage has been greatly affected by the policy of expanding domestic demand.Therefore,this paper also examines the stocks of the food and beverage industry.This paper firstly reviews the Capital Asset Pricing Model(CAPM)and Fama-French three-factor model,and points out the significance of Fama-French three-factor model in the study of capital pricing theory.Then it systematically sorts out empirical results of the Fama-French three-factor model show that the research on the Fama-French three-factor model in the Chinese market mostly stays at the level of the entire A-share market,lacking the status quo of in-depth research on specific industries,and on this basis,proposes specific industries for the A-share market.The paper then empirically studies the CAPM and Fama-French three-factor model based on the stock transaction data and financial annual report data of the listed companies in the A-share market from March 31,2014 to March 31,2018.The applicability of the two specific industries under the first-level classification criteria for real estate and food and beverage,the following conclusions are drawn by regression analysis: real estate industry and food and beverage industry have large market value effect and low book value-to-market ratio effect during the inspection period,which is different from most researchers' research results on the entire A-share market;the Capital Asset Pricing Model(CAPM)is established in both industries of the A-share market,but the applicability of the real estate industry is better.Compared with CAPM model,the Fama-French three-factor model considers both market risk factor,market capitalization factor and book value-to-market value ratio factor.It has been significantly improved in the applicability of two specific industries.In Fama-French three-factor model,the market risk factor still shows the strongest explanatory power,followed by the market value factor,and the explanatory power of the book value-to-market value ratio factor is relatively weak in the two specific industries of A shares.