RESEARCH ON THE STOCK RETURN IN CHINA-A-SHARE MARKET BASED ON THE FAMA-FRENCH THREE-FACTOR MODEL
This article focused on the applicability of the three-factor model to the Chinese A-share market. The efficiency of the application of the three-factor model to the Chinese financial market was tested by comparing the degree of fit, applicability and explanatory power of the CAPM model and the Fama...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2022
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| Online Access: | https://eprints.nottingham.ac.uk/70626/ |
| Summary: | This article focused on the applicability of the three-factor model to the Chinese A-share market. The efficiency of the application of the three-factor model to the Chinese financial market was tested by comparing the degree of fit, applicability and explanatory power of the CAPM model and the Fama- French three-factor model under time series in the process of testing the latest empirical data on the A-share market by setting up portfolios with different weighted-average sizes and book-to-market equity. |
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