Research On The Applicability Of The Chinese Version Of The Three-factor Model And Its Investment Plan Under The Jumping Behavior

Asset pricing theory is not static,and is always in development,change,and improvement.From single-factor models to multi-factor models,researchers continue to explore and find out the changing laws of the market and factors that affect asset prices in order to obtain excess returns.These studies are driving the constant development of asset pricing theory.Among them,the FF-3 factor model is more prominent in various asset pricing theories.The model has been verified by scholars to perform better in foreign markets and can explain excess returns in the market,but each country 's market has different characteristics.The model Whether it can explain the excessive return rate of China's A-share market has yet to be confirmed.Many scholars directly copied the FF-3 model to study China's stock market,and actually did not get very satisfactory results.In order to improve the model's interpretation of the rate of return,it is necessary to consider the phenomenon of abnormal fluctuations in China's stock market,and then remove the effects of abnormal fluctuations.At the same time,there is a special shell value phenomenon in the Chinese stock market.Many listed companies will backdoor listing,and this unique market phenomenon is not common in the European and American markets,so the more popular FF-3 factor model is not easy to use in China,but is in line with China.The Chinese version of the three-factor model CH-3 of national conditions can well explain most of the cross-sectional anomalies found in the Chinese market,which is much stronger than the Fama-French three-factor interpretation.According to the characteristics of China's stock market,this paper uses the jump risk factor to measure the abnormal return of China's stock market,and incorporates the factor into the CH-3 three-factor model.The main research contents and conclusions of the paper are as follows:Firstly,using the Shanghai and Shenzhen 300 market transaction data from 2008 to 2018 as a sample,the CH-3 three-factor model was constructed and its applicability to the return of stock market returns in China was investigated.It is found that the mean value of regression fitting goodness of 6 combinations of CH-3 model is about 0.93,and the model is suitable for China.Secondly,using the high-frequency data with a frequency of 5 minutes within the day of the above period as the calculation sample,according to the theory and calculation method of double power variation,the jump fluctuation behavior in China's stock market is estimated and tested.There are abnormal fluctuations,and then the intra-day jump behavior is summed to obtain monthly frequency jump risk factor data and incorporated into the CH-3 factor model.Thirdly,firstly,this paper checks whether the extended CH-3 factor model is suitable for China's stock market,and then compares the extended CH-3 factor model with the CH-3 model and the extended FF-3 factor model.After comparing the significance of regression coefficients,goodness of fit,and pricing efficiency,it is found that the extended CH-3 is superior to the original three-factor model in terms of goodness of fit and regression significance.The intercept term of regression More tending to 0,CH-3 has been improved after incorporating the jump risk factor.Compared with the better performing FF-3 factor model that incorporates the skip factor,it is verified that most of the CH-3 models that incorporate the skip factor perform better than the FF-3 model that incorporate the skip factor in the six portfolios.Finally,based on the results of empirical testing,this paper constructs an investment strategy based on the extended CH-3 factor model,hoping to realize the combination of theory and application.