Comparison of Performance of CAPM vs Fama and French Three-Factor Model vs Fama and French Five-Factor Model for Shanghai Stock Index

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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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Bibliographic Details
Main Author:	Afgun, Mohammad Hassam
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2020
Online Access:	https://eprints.nottingham.ac.uk/62401/

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