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2018•Proceedings of the 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018)Open access

Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market

Yanliang Zhang, Fan-Hao Li, Yue Gong

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Abstract

Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched.From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model.It provides reference for the capital asset pricing model in China.

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What this paper is about

Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched.From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model.It provides reference for the capital asset pricing model in China.

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Available abstract

Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched.From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model.It provides reference for the capital asset pricing model in China.

Key concepts: Factor (programming language), Computer science, Programming language

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