The Empirical Research For The Fama-French Three-Factor Model In Domestic Securities Market

With the rapid development of our economy, the huge demand of financing increased rapidly. C hina’s capital market has also undergone profound changes. We build a multi- level capital market in order to adapt to different levels of demand for funds financing needs. In addition, Constantly improved stock market provides a good investment platform for investors, a bridge for the capital demand and supply. The stock return is influenced by many complex factors. Determining the correct factors influencing stock returns enables investors to obtain the maximum benefit, cultivate a professional level of stock investors, optimize the allocation of resources to achieve at the same time, and finally promote the healthy development of the stock market. These are of positive significance to the further reform of China’s capital market.This paper firstly analyses the fundamental factors influencing stock returns, including macroeconomic factors, industry factors and the company factors. Secondly, this paper combs the classic theories about asset pricing model, including the efficient market theory, Markowitz’s portfolio theory, the capital asset pricing model and some empirical study on the domestic and foreign markets. The three- factor model is the development of the capital asset pricing model. This paper mainly introduces the development history and the theory of the Fama-French three- factor model. The empirical research of domestic and foreign scholars have been analyzed in detail, and provides the theoretical basis for later empirical.In the empirical part, This paper selects the data from 2009 to 2013 in Shanghai Stock Exchange as sample. In the first empirical on capital asset pricing model, Through the analysis of the model goodness of fit and the coefficient, I obtains the result that capital asset pricing model can not explain the samp le data. Secondly, the empirical of Fama-French three- factor model, the conclusion is the dominant influence in the market of C hina is stock market risk factor. In addition the company has obvious scale effect, but the book to market effect is weak. Finally, this paper considers the influence factor of the P / E ratio, excluding the effects of book to market factor. New three- factor model was constructed to contain the new factor of P / E ratio. The result is C hina stock market has obvious price earnings ratio effect, and the model’s explanatory power is enhanced.This paper takes the foreign classical asset pricing model as the theoretical basis, combined with the actual C hinese market, analysis and interpretation of factors influencing stock returns for investors, it is important for investors to assess the value of the stock correctly.