| The securities market can optimise the allocation of resources and provide reasonable prices for assets.Thereby it not only guides the transformation and upgrading of industries but also promotes the development and innovation of new industries.So clarifying the factors influencing asset pricing is of great significance to investors,listed companies and policy makers.Based on above understanding,many empirical studies have been conducted with multi-factor models,but the subjects selected are representative stock markets in each country as a whole.After more than 30 years of development,Chinese Securities market has played an increasingly important role in the economy.By the end of 2021,the number of listed companies in A-share has reached more than 4500.And the aggregate market value has exceeded 90 trillion yuan.The new energy vehicle industry is supported by industrial policies,recognition of energy conservation and emission reduction,the development trend of electrification of automobiles and changes of consumer philosophy,etc.Currently,a new energy vehicle industry segment with a complete industrial chain and a large number of listed enterprises with big scale has been formed in Chinese Securities market.Based on the multi-factor model of asset pricing,this thesis attempts to explore the empirical research object from the market to an industry sector.Through empirical comparative analysis,the applicable asset pricing model is clarified.And the influencing factors are optimised and improved to enhance the explanatory power of the model by combining with the characteristics of industry in market.It is of positively realistic significance to the development of industrial innovation,investor decision-making and the formulation of regulatory policies.Firstly,this thesis reviews the base of asset pricing theory.Then it summarizes mainstream models of asset pricing model and the literature on the influencing factors of stock return at home and abroad.It expounds current situation of development about new energy vehicle industry,the feasibility of selecting models and trend of industry development.Next,it takes monthly stock trading data and financial data of listed companies in new energy vehicle industry and traditional automobile industry as sample data.The time period of sample is 132 months from January 2010 to December 2020.It is found that the model has better explanatory ability for the stocks of traditional automobile industry than new energy vehicle industry when using Fama-French three-factor model for empirical analysis.Therefore,based on three-factor model and characteristics of China’s stock market and new energy vehicle industry stocks,the thesis introduces the turnover factor to construct a four-factor model to further study the influencing factors of China’s new energy vehicle industry stock retum.It aims to study the influencing factors of China’s new energy vehicle industry stock return.Moreover,the thesis takes over profit factor of five-factor model and then compares.The thesis selects specific industry for research which is more targeted than other scholars who did research in the whole A-share market.At the same time,it combines new factors to enrich the research cases of asset pricing model.Through empirical research,it is found that three-factor model on the stock return of new energy vehicle industry is slightly worse than that of traditional automobile industry.After introducing the turnover factor,the new model improves explanatory ability of the stock return.The thesis continues to replace the profit factor in Fama-French five-factor model with turnover facotor.It finds that the applicability of five-factor model is weaker than that of four-factor model.So,the thesis demonstrates that market risk,company market value and turnover rate are important factors influencing the stock return of listed companies in China’s new energy vehicle industry.However the book to market ratio factor has weak explanatory ability. |
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