Research on the investment efficiency of each factor in A-share market——Take CAPM, FF three factor and FF five factor models as examples

This paper mainly studies the effectiveness of factor investment represented by CAPM, FF three model and five in A-share market. Since birth middle last century, it is fashionable short. When focusing on China, superiority each controversial. In this paper, we took stock reform limit board as boundary, selected data from 1997 to 2020 study significance factor, profit (RMW) or (CMA), models. Through redundancy test, concluded that plays an important role, role (CMA) relatively small. addition, case univariate grouping bivariate grouping, different models are used adjust excess return. It found applicable China's continuous supplements CAPM model, making more comprehensive effective. And market most significant, representative dominant. Compared with addition will weaken value (SMB) original model.