| As an emerging sector in China,the Growth Enterprise Market(GEM)has become an important part of China’s securities market after decades of development and reform.At present,China is in the critical period of economic transformation.Considering the importance and uniqueness of GEM,it should play a more important role in this stage.In order to effectively understand the relationship between risk and return of GEM and help investors to make scientific and rational investment decisions,this paper uses the latest five factors model proposed by Fama French(2015),and uses the time series analysis based on the monthly yield data from May 2012 to April 2019 to empirically test the GEM.This can not only enrich and improve the theoretical system of asset pricing model,but also analyze the risk factors of the GEM market according to the empirical results,so as to better understand the risk characteristics of the GEM market and help investors to formulate scientific and reasonable investment strategies.This paper is divided into five parts.The first chapter is the introduction,including the research background,significance,content and methods of this paper.The second chapter is literature review,including the development of asset pricing theory,as well as the empirical research summary of CAPM model,three factor models and five factor models at home and abroad.The third part is the model setting,factor construction and statistical test of variables.It mainly expounds the development and formation of the five factor model,as well as the data source and factor construction of the GEM market needed for empirical research in this paper.At the same time,it tests the stability and correlation of variables.The fourth part is the empirical test of asset pricing model,which mainly uses the monthly data of gem from May 2012 to April 2019 to carry out five factor model,three factor model and CAPM respectively The empirical test of the model,and further add liquidity factor to modify the original five factor model,and then compare the empirical results,select the most suitable model for the GEM market.The fifth part is a conclusion and policy recommendations,mainly based on the analysis of the previous empirical results,combined with the theoretical basis of investment strategy,from the perspective of financial objects,the investment strategy and policy makers are given specific analysis suggestions.Before the empirical test,we first get the 48 time series of stock portfolios excess return weighted by total market value under three different groups:market value-book to market ratio;market-profitability;and market-investment ability.Meanwhile,we caculate the time series of four independent variables including scale,value,profit and investment factor,and obtain the market factor’s time series by subtracting risk-free rate from market rate of return.Then,based on the same data,we test the applicability of CAPM model,Fama French three factor model(FF3)and Fama French five factor model(FF5)in China’s growth enterprise market,and analyzes the risk factors of GEM in the empirical test.At the same time,in order to judge whether the explanatory ability of the FF5 is significantly increased compared with CAPM model and FF3,the adjusted R2 and the significance level of each coefficient are selected as the comparative indexes.In the further research,this paper adds liquidity factors to the FF5,and compares with the empirical results of the FF5 to investigate the impact of liquidity factors on the model’s interpretation ability.The results show that the market factors can explain the excess return to a large extent,which means that the market effect can be used to price the stock excess return in the GEM,and the stocks of small-scale companies are more sensitive to the fluctuation of the market return than small-scale companies.The scale factor and value factor play a certain role in explaining the excess return of stock portfolio,and the small-scale and high book-market ratio companies are more likely to obtain higher excess return.The explanation ability of profit factor and liquidity factor is weak,and investment factor has little explanation ability.In a word,FF3 is better than CAPM model in explaining the excess return rate of the GEM,but the FF5 is not better than FF3.Combined with the development characteristics and improvement degree of the GEM,market risk is still its main risk.Therefore,the FF5 is not suitable for the GEM Investors should pay more attention to market risk when making stock investment.And the GEM itself should further improve various trading systems and enhance the market maturity. |
PDF Full Text Request