Research On Asset Pricing Model In China's Margin Financing System

There is a significant "negative leverage effect" in the subject of margin financing and securities lending in China,that is,the asset portfolio with a low proportion of transactions between the two financial institutions within the frequency range has excess returns over the asset portfolio with a high proportion of transactions between the two financial institutions.However,the existing CAPM model,three-factor model and five-factor model cannot explain the market anomaly.At the same time,considering that the two financing funds have a positive role in improving the liquidity of the target,this paper constructs a turnover rate factor and a turnover factor.Explain the "negative leverage effect" but the results are not ideal.Deep into the characteristics of the two financing arrangements,this article finds that the two financing funds prefer to trade on the left side and prefer the stocks that fell earlier.Therefore,the "negative leverage effect" is actually a continuation of yield momentum rather than a reversal.Through empirical research and robustness analysis,this article finally determined to construct the factor using the 2×4 grouping method,and replacing the value factor in the five-factor model with the ratio of the two financial transactions can better explain the market vision.