An Empirical Analysis Of The Profit Effect Of China's A-share Industry Sector Based On The Stochastic Volatility Model

In recent years,international scholars' research on asset pricing has gradually focused on the profit vision.Empirical evidence has found that the profitability of listed companies can predict stock returns and has a positive forecasting function.At present,few Chinese scholars pay attention to the profit effect,especially to examine the pricing effect of profitability of listed companies from the perspective of industry sectors.Based on this,it is necessary to explore the existence and significance of cross-sectional returns of listed companies and profit factors under different investment portfolios in combination with the industry sector of China's A-share market.In general,this article uses a comprehensive research method that combines qualitative and quantitative,overall and partial,theoretical and empirical,and comparative analysis to test the impact of the profit factors of listed companies in China's A-share market industry on stock returns.The existence and significance of the profit effect of the industry sector;on the other hand,the existence and significance of the profit effect of different investment portfolio classifications in different industries are specifically tested under the control of scale,value,and investment anomalies,and from the dividend discount model,The profitability pricing index analyzes the mechanism that affects profitability.In the empirical research,the sample interval is the monthly data of China's A shares from 2007 to 2018.First,a five-factor model(FF-SV-N)based on random fluctuation error terms is constructed according to the characteristics of China's financial data;on this basis,financial The return on net assets in the information is used as the indicator of profitability.Cross-section regression method is used to analyze the return data of 17 industries,and the Fama(2015)permutation and combination method is used to analyze the data of 17 industries according to profit-scale,profit-value,profit-Invested in a 5×5 grouping to construct 25 portfolios,and used the FF-SV-N regression model to analyze the profit effect.The research shows that the profit factors of the industry sector of China's A-share market and the expected return on stocks are generally significantly negatively correlated,and asset pricing models with random fluctuations can more accurately describe the formation of investment returns.In the industry sector,the profit factor is not significant in the three major industries of real estate,scientific research and technical services,health and social work;after controlling the scale,value,and investment factors separately,the profit vision is in the profit-scale combination It is more significant in terms of profitability,and the profit factor is the best in manufacturing,information transmission,software and information technology services,and the worst in real estate.