Research On The Asset Pricing Of China Mutual Fund

In 90 s,mutual funds emerged in China,and the research on related issues of mutual funds rapidly became a hot topic.At present,most scholars' conclusions show that mutual funds play a role in maintaining market stability to some extent,and exist as rational investors.However,few scholars have used the fund data containing more rational factors to study asset pricing related issues.This paper selects the data from June 30,2004 to December 31,2017 of our mutual fund,and forms four samples of three annual data samples,annual data samples,semi annual data samples and quarterly data samples,and uses the new method of Berk & van Binsbergen(2016)demonstration to study the validity of CAPM,FF model and FFC model.And compare the advantages and disadvantages of the three,so as to make a useful supplement to the existing research.In this paper,the validity of CAPM,FF model and FFC model is tested on the basis of common fund data samples,and the real or near real pricing model is found,and the validity of the confirmed model is tested.The conclusions are as follows: 1.systematic risk has a significant influence on the excess return of funds.The government should reduce administrative intervention and reduce systemic risk;2.the non systematic risk factors such as the scale of the fund and the ratio of the book market value have significant influence on the excess return of the fund,and the perfect information disclosure system is also the supervision of the fund market.3.the momentum effect and reversal effect coexist in China's fund market.The government's policy,fund selection,and investor redemption fund should consider the opportunity problem;4.the effectiveness and quality of the pricing models are influenced by the market attribute and the study period,and the four factor model will also be influenced by the momentum factor formation period.Scholars should carefully expand the model.Before making investment decisions,investors should make clear the market and the investment cycle.The problem is also found in this paper: CAPM,FF model and FFC model are both real or close to real capital asset pricing models,and fund data can also be used to test pricing models,but there are still a large part of the capital flows that can not be explained.