Abstract
This paper selects the data of Shanghai and Shenzhen A-share listed companies and 12 commercial banks from January 2010 to December 2020, constructs A bank factor representing the level of bank credit risk and introduces it into the Fama-French three-factor model, and theoretically establishes a four-factor asset pricing model considering bank credit risk. The empirical test results show that: (1) In the non-financial market, the bank factor quantified by the level of bank credit risk plays a good role in explaining individual stocks, and can be used as the influence factor of asset pricing in the non-financial industry; (2) The addition of bank factor improves the comprehensive explanatory ability of market factor, size factor and book-to-market ratio factor, and reasonably expands and revises the Fama-French three-factor model theoretically. The results of this paper improve the pricing efficiency of the Fama-French three-factor model based on bank credit risk, and enrich and perfect the asset pricing theory to a certain extent.
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