| In recent years,with the steady improvement of China’s GDP and favorable economic environment,the trading mechanism and trading norms of China’s securities market have been gradually improved and become an indispensable part of the world financial market.However,it is undeniable that,despite its rapid development,compared with the more mature Securities markets in Europe and the United States,China’s financial market lags behind in overall development.There are still some phenomena such as the imbalance of the proportion of institutional investors,serious speculation and unreasonable pricing mechanism.Different from other capitalist countries,China’s socialist system makes the securities market have some characteristics that foreign markets do not have,which leads to our market analysis,if we completely copy the existing theories of foreign research,it may lead to deviation or completely opposite research.Therefore,referring to the research method and path,combined with the particularity of China’s politics and economy,it is rational to analyze the market situation.In the field of asset pricing,cutting-edge studies have found that as the IPO regulatory mechanism in China’s stock market is prone to shell value pollution,many companies that are difficult to get listed will take backdoor listing measures,which will greatly interfere with the accuracy of asset pricing.Therefore,the validation effect of the classic Fama-French three-factor model in The Chinese market is not ideal.Deleting the bottom 30% of stocks can help remove shell pollution in the study and achieve a more accurate effect.At the same time,in the empirical study,for the American market,the bm ratio is appropriate,while the return of the income ratio in the Chinese market is more significant.In terms of sample data selection,monthly a-share data of 10 years from2011 to 2020 are selected as samples,and 30% data at the end of the market value is deleted,which only accounts for A very small part of the market value,so as to eliminate the influence of shell pollution as much as possible.The sample data were grouped according to market value and price-to-earnings ratio respectively,and the independent variables--market factor MKT,scale factor SMB and value factor VMG were calculated.Similarly,the stock pool is divided into 5*5 groups and the weighted average return rate is calculated as the dependent variable respectively to test the applicability of the latest asset pricing research model,namely the Chinese version of the three-factor model CH-3,in the Chinese market.The regression results show that THE CH-3 model has a strong explanatory power to the return rate of China’s stock market,and the regression coefficient of market factor is closest to 1,which indicates that the market factor plays an unshakable role in the model.On this basis,this paper tries to add new risk factors and excavate a new model more suitable for Chinese stock market on the basis of the original model.Referring to previous studies,using principal component analysis method,five proxy variables of closed-end fund discount rate(CEFD),Number of New A-share accounts(ACCOU),turnover rate(TURN),number of IPO(NIPO)and price/earnings ratio(PE)were selected to construct sentiment factors,which were added into THE CH-3 model to become A new four-factor model.By comparing the two models,it is found that the goodness of fit of the model is improved after the addition of the new factor,which can better explain the excess return of the market compared with the original model.At the same time,the empirical results show that the newly added emotional factors have a more significant impact on small-cap stocks,which is consistent with previous research content.Finally,through GRS test,it is concluded that the four-factor model is a more suitable asset pricing model for Chinese market. |
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