Empirical Test Of Fama-french Five-Factor Model In Chinese Growth Eterprise Board Market

The asset pricing model is the focus of scholars' research.From the dividend discount model,the Fama-French three-factor model,to the current Fama-French five-factor model,the capital asset pricing method is constantly improving.The Fama-French five-factor model has been widely used in foreign securities markets and has been verified.However,there are few empirical studies on the Chinese stock market,especially for listed companies in emerging industries.In 2007,China established a growth eterprise board on the Shenzhen Stock Exchange,and most of the companies listed on it belonged to emerging industries.Emerging industries have significant differences in corporate characteristics compared to traditional industries.Therefore,this paper uses the Fama-French five-factor model to conduct an empirical test on the Shenzhen GEM to explore the applicability of the model to the Chinese Growth Eterprise Board Market.Based on the monthly data of the GEM listed companies from July 2011 to June2018,this paper examines the applicability of the Fama-French five-factor model in the Chinese GEM stock market.At the same time,a comparative study of the five-factor model and the three-factor model was carried out,and a sub-period test was conducted based on the 2015 stock market crash to explore the applicability of the five-factor model before and after the event to the GEM and to determine whether its applicability has changed.The main conclusions are: the scale effect is significant under the whole sample,and the profitability and investment style effect are significant after adjusted by the three-factor model;the five-factor model has a strong explanatory ability,which is better than the three-factor model;the market risk is dominant,and the profit is dominant too.The risk premium of the ability and investment style factor is significant;the difference between the actual yield and the expected rate of return after the stock market crash is closer to zero than before the stock market crash,and the market efficiency is significantly improved.