Quantified investment refers to quantitative investment model and the way of issuing orders by programming, so as to obtain stable returns. In recent years quantitative investment is increasingly valued by institutional investors and hedge funds in terms of its discipline, systematicness, timeliness and decentralization. From the perspective of the effectiveness of China's securities market and the development experience of foreign securities market, the prospect of quantified investment is worth looking forward to. However, domestic quantitative investment products still have shortcomings such as small overall size, single quantitative strategy, differentiation of strategic performance. Therefore, it is of great significance to study the new quantitative investment mode and to dig out new modeling ideas to enrich the quantitative investment products, improve the market scale and promote the development of quantitative investment. Based on the method indicated by Eugene Fama and Kenneth French and using public information from China A-share market. This paper attempts to establish a multi-factor model which is able to explain the stock price in Chinese stock market. The model is based on four fundamental factors, including liquidity, profitability, growth opportunity and earning revision. In addition, four fundamental factors are further derived to ten factors. The effectiveness of the ten-factor model is tested by using historical data. The results show that this model could beat the market standard effectively and provide relatively stable excess income.
Published in | International Journal of Economics, Finance and Management Sciences (Volume 6, Issue 3) |
DOI | 10.11648/j.ijefm.20180603.17 |
Page(s) | 118-123 |
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This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
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Copyright © The Author(s), 2018. Published by Science Publishing Group |
China A-Share Market, Multi-Factor Model, Pricing Model
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APA Style
Zhipeng Wu, Jiayi Wang, Benchang Wang. (2018). Establishment and Application of Multi-Factor Pricing Model in China A-Shares Market. International Journal of Economics, Finance and Management Sciences, 6(3), 118-123. https://doi.org/10.11648/j.ijefm.20180603.17
ACS Style
Zhipeng Wu; Jiayi Wang; Benchang Wang. Establishment and Application of Multi-Factor Pricing Model in China A-Shares Market. Int. J. Econ. Finance Manag. Sci. 2018, 6(3), 118-123. doi: 10.11648/j.ijefm.20180603.17
AMA Style
Zhipeng Wu, Jiayi Wang, Benchang Wang. Establishment and Application of Multi-Factor Pricing Model in China A-Shares Market. Int J Econ Finance Manag Sci. 2018;6(3):118-123. doi: 10.11648/j.ijefm.20180603.17
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TY - JOUR T1 - Establishment and Application of Multi-Factor Pricing Model in China A-Shares Market AU - Zhipeng Wu AU - Jiayi Wang AU - Benchang Wang Y1 - 2018/06/20 PY - 2018 N1 - https://doi.org/10.11648/j.ijefm.20180603.17 DO - 10.11648/j.ijefm.20180603.17 T2 - International Journal of Economics, Finance and Management Sciences JF - International Journal of Economics, Finance and Management Sciences JO - International Journal of Economics, Finance and Management Sciences SP - 118 EP - 123 PB - Science Publishing Group SN - 2326-9561 UR - https://doi.org/10.11648/j.ijefm.20180603.17 AB - Quantified investment refers to quantitative investment model and the way of issuing orders by programming, so as to obtain stable returns. In recent years quantitative investment is increasingly valued by institutional investors and hedge funds in terms of its discipline, systematicness, timeliness and decentralization. From the perspective of the effectiveness of China's securities market and the development experience of foreign securities market, the prospect of quantified investment is worth looking forward to. However, domestic quantitative investment products still have shortcomings such as small overall size, single quantitative strategy, differentiation of strategic performance. Therefore, it is of great significance to study the new quantitative investment mode and to dig out new modeling ideas to enrich the quantitative investment products, improve the market scale and promote the development of quantitative investment. Based on the method indicated by Eugene Fama and Kenneth French and using public information from China A-share market. This paper attempts to establish a multi-factor model which is able to explain the stock price in Chinese stock market. The model is based on four fundamental factors, including liquidity, profitability, growth opportunity and earning revision. In addition, four fundamental factors are further derived to ten factors. The effectiveness of the ten-factor model is tested by using historical data. The results show that this model could beat the market standard effectively and provide relatively stable excess income. VL - 6 IS - 3 ER -