Analysis Of The Performance Of Mainstream Multi-factor Model In The A-share Market After The Shareholding Reform

With the rapid development of the Chinese economy,the stock market has become increasingly mature since its inception,with its overall size continuously expanding and operational mechanisms gradually improving.Since the 2005 shareholding reform of Ashares,the Chinese stock market has experienced two obvious bull and bear cycles.Research has shown that the reform effectively improved the pricing efficiency of the Chinese capital market.Therefore,this article adopts stock data from 2005 to 2022 for empirical verification.Due to the large fluctuations in the returns of the A-share market before and after the stock market crash,it is a research topic of theoretical significance and practical value to separately test the applicability of multi-factor models in different market operation stages of the A-share market.This article first reviews the relevant literature on mainstream multi-factor models,asset pricing research of the A-share market,and the impact of shareholding reform on market efficiency.Based on traditional economic theory(Fama-French three-factor and five-factor models),physical investment theory(Q-factor model),and behavioral finance theory(Stambaugh-Yuan four-factor model and Daniel-Hirshleifer-Sun three-factor model),five multi-factor pricing models are selected for empirical analysis,and the sample interval starting from 2005 is determined.In the empirical verification process,this article introduces descriptive statistics of each model,analyzes the correlation between factors,conducts regression analysis on different investment portfolios,and then conducts GRS tests on the entire sample period and different market operation stages.The models are also tested for collinearity to determine whether redundant variables exist.Finally,the performance differences of each model in the A-share market are summarized and generalized.The results of this study show that: firstly,in the five mainstream multi-factor models,most of them show improvement in their performance in the later stage as time progresses,indicating that the maturity of the Chinese stock market has improved under the background of deepening securities market reform;secondly,the Fama-French fivefactor model performs the best among the five models,with the highest explanatory power for investment portfolios.It has the best performance in bull markets,bear markets,stable market operation stages,and the entire sample period.However,the investment factors in this model are redundant variables;thirdly,there is no significant investment effect in the A-share market,but market effect and size effect are significant.The value factor performs averagely,and the mispricing factor performs poorly;fourthly,the two mainstream multi-factor models based on behavioral finance,namely the StambaughYuan four-factor model and Daniel-Hirshleifer-Sun three-factor model,are not applicable in the A-share market.