Research on Pricing Power of Fama-French Five-factor Model Combined with Trend Factor.

Technical analyses are popular in investment practice in the Chinese stock market. However, with the in-depth study of technical indicators, trend strategies constructed based on a single window period have been proven to be highly volatile in terms of returns. And also, there is a wide range of academic views on the implementation of trend strategies to achieve excess returns in the Chinese market. Based on these, this paper constructs a trend factor using a moving average model, employs Chinese A-share data from 2010-2023 to verify the effectiveness of the trend factor for single-factor stock selection in the Chinese stock market through empirical analyses, respectively, and combines the trend factor with a traditional asset pricing model to validate the feasibility of the improved Fama-French five-factor model stock selection strategy by adding the trend factor and the pricing ability of the model, and the robustness of the findings is confirmed by robustness tests. The conclusions of the study provide targeted recommendations for individual and institutional investors and have certain theoretical and practical significance. [ABSTRACT FROM AUTHOR]