| Asset pricing theory has been the focus areas of finance under study,since Sharp proposed capital asset pricing model.The model assumes that capital only explained by a single factor resulting in the explanatory power of the model is quite limited.The researchers found lots of phenomenon of the stock market can not be explained by the CAPM in the study.Then the model is improved step by step.The most striking model is the APT and FF three-factor model.Tradable shares is unique to China's system,it refers to a listed company have two parts of non-tradable shares and outstanding shares.After 2005,the equity division reform,the Chinese stock market maintain a higher proportion of non-tradable shares.The registration reform authorized by the State Council will be formally implemented in March 1,2016.It means the performance of listed companies become more and more standardized and transparent,which makes profitability become an important criterion for investors' investment.This paper reviewed the asset pricing models and the development of the theory at first.Then discuss their ability of interpretation of the Chinese market.Then it analyzes the basis of FF three-factor model and the improvement of the theoretical.This paper begins by using descriptive statistical analysis to grouping portfolio proportion of outstanding shares.It researched the difference between the return on diversified portfolios of stocks with high and low proportion of tradable.The paper established the five-factor model by Introducing two new factors.We introduced the three definitions of the explanatory variables in the regression equation,trying to find a best model to explain average returns.The paper try to find out if the five-factor model can improve the interpretation of the excess rate of return by using GRS test.The results showed that the five-factor asset pricing model have a better explanatory power to the changes of assets,and it more suitable for Chinese market. |
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