Research On The Uncertainty Of Economic Policy And The Return Of Stock Market Based On Multi Factor Asset Pricing Model

China's stock market is a typical emerging market due to its late start,and there are many imperfections.Therefore,the Chinese government has given strong supervision and regulation to the stock market.In recent years,due to the complex and severe external environment?the domestic economy is facing downward pressure,and the fluctuation of economic policy has a huge impact on the stock market.In this context,this paper adds the uncertainty factors of China's economic policy to the widely used multi factor asset pricing model,analyzes the explanatory power of the multi factor asset pricing model after adding the uncertainty factors of economic policy to the stock return rate of China's A-share market,and finds that the stock return rate is affected by the difference of asset allocation through the empirical analysis of different stock portfolios Different factors have different effects,which make investors demand higher risk premium compensation.Then by GRS test,it shows the,rationality of economic policy uncertainty as asset pricing factor.Finally,this paper examines the effectiveness of economic policy uncertainty in different periods and the heterogeneity of factor coefficients in different periods.The regression results show that the change of business model of listed companies and investors' investment preferences will affect the uncertainty risk of economic policy on stocks The pricing effect and the risk of economic policy uncertainty in China's A-share market have been declining over time,but the extent of decline is relatively small,in the long future,the uncertainty of economic policy will still have a certain impact on the stock market In addition,due to the heterogeneity of the industry,the response of different industries to the risk of economic policy uncertainty will also be different,so this paper is studying Considering the heterogeneity of the industry,this paper empirically analyzes the impact of the economic policy uncertainty risk on the stock returns of manufacturing,real estate,wholesale and retail industries,information transmission,software and information technology service industries.Then,through the case study of company W,it explains the impact of the economic policy uncertainty on the stock returns The multi factor model is operable for A-share listed companies in China.