Research On The Impact Of Long-term Effect Of Share Split Reform On A-share Pricing Efficiency

Asset pricing is one of the core tasks of finance.A reasonable asset pricing mechanism is the key to the effective allocation of financial resources.The 2018 government work report proposes to increase the proportion of direct financing,especially equity financing,which depends on the improvement of pricing efficiency of the securities market.To this end,it is of great significance to study the pricing efficiency of A-share assets and propose corresponding improvement measures to enhance the direct financing function of the securities market.In this paper we select A-share data of 264 months from July 1997 to June 2019 as a research sample,and uses four types of Fama-French models to study the impact of long-term effect of share reform on A-share pricing efficiency.First,follow the interest rate marketization reform process,we construct a risk-free rate curve that fits the actual Chinese capital market,and systematically sort out the economic interpretation of the Fama-French pricing factor.Secondly,we build each model pricing factor month by month.The GRS test and the Fama-MacBeth two-step regression method respectively examine the impact of the long-term effect of the share reform on the Fama-French pricing model and the factor interpretation efficiency.Finally,the CICSI,which can accurately and comprehensively measure the investor's sentiment,is introduced,and the investment is verified by the GRS statistic.The influence of sentiment on A-share pricing efficiency,and the dynamic relationship between investor sentiment and other factors is analyzed by Granger causality test and impulse responseThe study found that:1.The long-term effect of share reform significantly improved the pricing efficiency of the capital market.The excess return portion that the Fama-French pricing model failed to explain was significantly reduced after the completion of the share reform.At the same time,the fundamental pricing factor showed more and more over time.The stronger the explanatory ability;2.The investor sentiment has a strong explanatory power in the current A-share market,and the Fama-French-like pricing model that incorporates investor sentiment significantly improves the ability to interpret excess returns.Further Granger causality test proves that investor sentiment interacts with macro market risk,and at the same time broadly affects the scale effect and profit effect of A-share fundamentals;3.GRS test and redundancy factor test show that investor sentiment is introduced The Fama-French three-factor model has better explanatory power than other models,and the profit and investment factors introduced by the five-factor model become redundant factors.Based on the theoretical and empirical research results,this paper further proposes to improve the pricing efficiency of the capital market.It should focus on deepening the interest rate marketization reform,strengthen the construction of the market benchmark interest rate system,and steadily expand the implementation of the stock issuance registration system reform and the stock exit marketization mechanism;Intensify,improve the illegal costs of intermediaries,improve the governance of listed companies;strengthen the education of individual investors,and establish a value investment philosophy.