An Empirical Research On The Factors Affecting The Stocks' Return In China's GEM

Since its establishment in 2009,China's GEM market has developed rapidly and has been an important part of China's multi-level capital market.It plays a role in escorting the development of small-sized enterprises and innovative enterprises.While the GEM market is known for its high growth,high technology and high returns,it has also staged another version of the "Three Highs":high P/E ratio,high issue price,and high fundraising.On the one hand,these symptoms will inject probiotics into the GEM and increase the vitality of the GEM.On the other hand,it will undoubtedly increase the risk of the GEM market and cause the stock price to fluctuate drastically.Therefore,the study of the GEM stock asset pricing theory is of great significance in the academic circles and the industry.It plays an important role in the improvement of the GEM asset pricing theory,the development of the investor stock selection strategy,and the implementation of the regulator's market management approach.The healthy operation of the upcoming science and technology board will provide some reference.The Fama-French five-factor model was proposed by Fama and French in 2015,and then quickly became a research tool for scholars from various countries to explore the pricing of their stock markets.Through empirical tests on stock markets in various countries,the five-factor model was developed for each country.The ability to interpret stock market yields varies,indicating that the factors that influence stock returns in each country are not the same.Based on the five-factor model,this paper selects the monthly data of the entire stocks of GEM for six years(May 2012 to April 2018,72 months),and studies factors affecting the stock returns of the GEM through empirical analysis.The first chapter of this paper analyzes the background,significance,research methods and innovations of the thesis.The second chapter summarizes the related literatures in the field of asset pricing at home and abroad and analyzes the research status of the relationship between valuation and yield of GEM stocks.The third chapter elaborates on the relevant theories of this study and the construction methods of explanatory variables(2×3 method)and interpreted variables(4×4 combination).The fourth chapter is the empirical part,which carries out data selection and processing,factor descriptive statistics,factor correlation test,sequence stationarity test and empirical test of the applicability of Fama-French five-factor model in China's GEM market.The benchmark portfolio constructed under different grouping methods is used as an explanatory variable to empirically test the applicability of the five-factor model on the GEM.The applicability of the Fama-French five-factor model in the GEM market is judged by the significance of the regression intercept term.The validity of each factor is judged by the significance of the factor regression coefficient.The fifth chapter is the model correction and test part.The author conducts a large number of theoretical and empirical analysis on some factors that may affect the stock market's stock return rate,and finally puts forward a better performance based on the high valuation characteristics of the GEM market.The value factor,the valuation premium of the Fama-French five-factor model is revised and the revised five-factor asset pricing model for the Chinese GEM market is summarized.The correction effect of the further empirical test model and the new model's stock return rate for the China Growth Enterprise Market are Explain ability.The sixth chapter summarizes the research conclusions of this paper and puts forward some countermeasures and suggestions.It is found that the Fama-French five-factor model has a good explanatory power for Chinese GEM stock returns,among which the scale factor(SMB)is very significant,the valuation factor(HML)is second,and the profit factor(RMW)has limited capacity,investment factors(CMA)are basically not explanatory.The explanatory power and factor saliency of the new model corrected by the valuation premium have been improved to some extent,and the goodness of fit of the model has also been significantly improved.Therefore,investors in the GEM market should focus on some fundamental factors,such as the size of the company,the valuation factor,and conduct relatively stable long-term investments.