  In allusion to some contradicting results in existing research, this paper
selects China's latest stock data from 2005 to 2020 for empirical analysis. By
choosing this periods' data, we avoid the periods of China's significant stock
market reforms to reduce the impact of the government's policy on the factor
effect. In this paper, the redundant factors (HML, CMA) are orthogonalized, and
the regression analysis of 5*5 portfolio of Size-B/M and Size-Inv is carried
out with these two orthogonalized factors. It found that the HML and the CMA
are still significant in many portfolios, indicating that they have a strong
explanatory ability, which is also consistent with the results of GRS test. All
these show that the five-factor model has a better ability to explain the
excess return rate. In the concrete analysis, this paper uses the methods of
the five-factor 25-group portfolio returns calculation, the five-factor
regression analysis, the orthogonal treatment, the five-factor 25-group
regression and the GRS test to more comprehensively explain the excellent
explanatory ability of the five-factor model to the excess return. Then, we
analyze the possible reasons for the strong explanatory ability of the HML, CMA
and RMW from the aspects of price to book ratio, turnover rate and correlation
coefficient. We also give a detailed explanation of the results, and analyze
the changes of China's stock market policy and investors' investment style
recent years. Finally, this paper attempts to put forward some useful
suggestions on the development of asset pricing model and China's stock market.
