Applicability Test Of Fama-French Multifactor Model On A-Shares And Industry Return Rate

With the establishment of Shanghai Stock Exchange and Shenzhen Stock Exchange,China's capital market is developing rapidly and stepping into a fast and efficient stage.Compared with the past,the market scale of the current capital market is significantly expanded and ranks among the top in the world,the participants are more active in trading,and the rich and diversified trading tools effectively promote the improvement of the market's ability to serve the real economy.But because China's capital market development time is shorter,the market system still exists in the market is influenced by macroeconomic fluctuations obviously caused high systemic risk problem,herding effect caused by the significant market prices seriously deviate from the intrinsic value reasonable interval problems,enterprise financial information disclosure lack of timeliness and efficiency problem,problem such as regulation and supervision blank lax,As a result,the return rate of stock market presents obvious uniqueness and complexity.In this context,this paper aims to improve the stock pricing theory by reasonably constructing the asset-based asset pricing model,and puts forward relevant policy suggestions for the problems existing in the current operation status of the capital market,which is of great significance both theoretically and practicallyThis paper selects 240 monthly data of A-share stocks in Shanghai and Shenzhen stock markets(including A-share and GEM)from May 2000 to April 2020 as research samples.On the basis of the original Fama-French three-factor model,the total factor productivity factor is introduced to form the Fama-French four-factor model,and the applicability of the Fama-French three-factor model,fama-French four-factor model and Fama-French five-factor model to a-share return rate is comparatively analyzed.In order to explore the optimal Fama-French factor model for the explanatory ability of stock returns,and further analyze the contribution of pricing factors in the optimalFama-French factor model to the explanatory ability of the model and the impact of stock returns.The optimal Fama-French factor model is used to analyze the industry sectors to explore the applicability of stock return on the industry and the impact of related pricing factors on different industries.Research results show that: first,compared with the three factor model and the five factor model,the introduction of four factor model of total factor productivity factor explanation ability is stronger,the interpretation of the total factor productivity factor for stock yield ability is better than the sum of profit factors and investment factors,namely the total factor productivity factor for more effective pricing factor;Second,the explanatory ability of the four-factor model for a-share returns mainly comes from market factor and scale factor,while value factor and total factor productivity factor also have certain explanatory ability.The change of total factor productivity can significantly cause the change of portfolio returns in the same direction,but the impact degree is different.Thirdly,the four-factor model has a strong explanatory ability for inter-industry stock returns.Market factor is significant in all industries,size factor is significantly positive in most industries,value factor and total factor productivity factor are significantly negatively correlated with stock return rate in most industries.Based on the research conclusion and the development status of China's capital market,this paper puts forward that the government should play an effective role to guide the healthy development of the market;Improve the information disclosure system of listed companies to improve authenticity and transparency;Guiding individual investors to pay attention to the intrinsic value of enterprises,long-term investment,rational investment and other policy suggestionsBased on the research conclusions and the development status of China's capital market,this paper puts forward relevant suggestions for investors,listed companies and government agencies.