Comparison of Performance of CAPM vs Fama and French Three-Factor Model vs Fama and French Five-Factor Model for Shanghai Stock Index
The purpose of this research is to find which Asset Pricing Model amongst CAPM, Fama and French three-factor model, and Fama and French five-factor model best captures the return for the Chinese economy, using SSE180 stock index as the sample. For this purpose, the Right Hand-side (RHS) approach is...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2020
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| Online Access: | https://eprints.nottingham.ac.uk/62401/ |