A Study On The Factors Affecting Stock Yield Of Chinese Listed Banks Based On Three-factor Capital Asset Pricing Model

The Capital Asset Pricing Theory has been the hot topics in stock market research for some years. The classic model is the Capital Asset Pricing Model, which was given by Sharp in 1964. Because the classic model has too strict hypothesis and poor empirieal results, it was fixed by the following papers. The two most famous models are Arbitrage Pricing Model, given by Ross in 1976, and Three -factor Capitial Asset Pricing Model, given by Fama and French in 1992. Both of them make the empirical results better. However, the Fama-French three-factor model was just given by data mining and has no rigorous derivation. More papers about its applicability are given.The domestic researchers are also very interested in CAPM and Fama-French three-factor model. They test the models' availability to try to apply them in our stock market. With the development of our stock market, more and more availability tests show them useful. But the domestic papers pay most attention on CAPM application. The Fama-French three-factor model is just applied to the whole market and hardly to industrial studies.As the critical industry, bank industry has very essential effect to the whole stock market. But the prior research on its return is very rare. The reason is that most domestic and abroad researchers trend to delete the data of the financial industry. And all the present papers are only based on CAPM, such as Biao Ersu(2007)and Gao Yongjun(2010). Although both got some empirical results, the persuasion is poor. Besides, There are two different types of corporations (state-owned and private company), which are very different in size,ownership structue and book value ratio to effect their returns. Therefore, this paper trys to use Fama-French three-factor model and its extended model to analyze the returns of the listed-bank stocks.First, a literature review of the prior capital asset pricing theory is given in the paper, and compare the CAPM,ATP Model and FF Three-factor Model about their hypothesis, equations and explanatory power. Then use the models to empirical research for 12 listed-bank stocks to find the factors which are significant to their return fluctuations. Finally, according to the theoretical and empirical conclusion, some useful advice are given to stock investors and market supervisor.the following conclusions are shown:(i) for listed-bank stocks, the FF Three-factor Model is the best model of the three capital asset pricing models. The listed-bank stocks have significant size effect and book-to-market effect, but no owership-right effect; (â…±) in our stock market, the size effect and book-to-market effect have crossing effect, which concern the market dominance and investors' irrational behavior; (â…²) the listed-bank stocks have smaller return fluctuation than the market return, so they can be proper for investors to make a long-term value invest, and be paid more attention by the supervisor to keep the market stable.