Pricing Research Of A-share Market Based On Multi-factor Model

Multi-factor model is a model that uses multiple influencing factors to explain portfolio return rate.Starting with FF three-factor model,FF five-factor model with two added factors has better fitting effect,which improves the explanatory ability of multi-factor model to stock return rate and makes multi-factor model more effective in measuring corporate performance and evaluating the stock market.Gain a new perspective on estimating returns and so on.In recent years,China’s stock market has experienced many turbulences and reforms,and a multi-level securities market has been formed for different needs and different industries.Exploring the applicability of factor model in the market is an important way to test the overall fitting degree of factor model.However,in the domestic market,the applicability of this model is still controversial.Among them,the influence of time interval factor and market sector factor has been discussed by scholars,while the industry factor is relatively less discussed.This paper selects 120 monthly data from May 2011 to May 2021 as samples,including relevant data of A-share market,public utilities,real estate,industry and commerce,so as to find out why the FF five-factor model has poor explanatory ability to the stock return rate of China’s stock market.Descriptive analysis,regression analysis and GRS test were used to price the FF five-factor model in different industries,observe the performance of the FF five-factor model in different industry types,and describe the factor characteristics in different industries.At the same time,in recent years,global emergencies occur frequently,from the early Titanic sinking accident,the Pentagon 9·11 incident,the SARS epidemic,the Subprime mortgage crisis,the European debt crisis.To the COVID-19 pandemic and the Russia-Ukraine war in recent years.These unpredictable events have had a series of knock-on effects on financial markets.Therefore,considering the influence of sudden factors on the fitting degree of factor model,factors based on sudden factors are constructed and added into FF five-factor model to explore whether they can greatly improve the explanatory ability of FF five-factor model.On the whole,through various verification methods,this paper obtains the fitting degree of FF five-factor model between industry,commerce,public utilities,real estate industry and A-stock market,and analyzes and compares.One of the reasons for the poor ability of FF five-factor model to explain the stock return of China’s stock market is verified: the applicability difference of FF five-factor model in different industry classifications.At the same time,the burst factor has a certain influence on the fitting degree of factor model.With the addition of the burst factor,the explanatory ability of the model is improved compared with the FF five-factor model.