1 论文标题Establishment and Application of Multi-Factor PricingModel in China A-Shares Market
2 作者信息
Zhipeng Wu1, Jiayi Wang2, Benchang Wang1
3 出处和链接（比如，NBER working paper No.11000）
https://kns.cnki.net/KCMS/detail/detail.aspx?dbcode=IPFD&filename=LXHR201805002022
4 摘要
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.