An Empirical Study of the Chinese A-share Market Based on the Fama-French Three-Factor Model

Jinghan Shi

doi:10.54254/2754-1169/16/20230975

Research Article

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Published on 13 September 2023

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Shi,J. (2023). An Empirical Study of the Chinese A-share Market Based on the Fama-French Three-Factor Model. Advances in Economics, Management and Political Sciences,16,54-59.

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An Empirical Study of the Chinese A-share Market Based on the Fama-French Three-Factor Model

Jinghan Shi *^,1,

¹ Wuhan University of Technology

* Author to whom correspondence should be addressed.

https://doi.org/10.54254/2754-1169/16/20230975

Abstract

In recent years, the international situation has been unpredictable, changes in the economic environment have profoundly affected people's psychological expectations, and the securities market has experienced different volatility, which brings challenges to the validity of the Fama-French three-factor model. Based on this model, this paper selects 20 stocks in the Chinese A-share market, divides them into six portfolios according to their size and book-to-market ratio, conducts a regression analysis of monthly returns from August 2017 to July 2022, and then verifies the explanatory power of the market factor, size factor, and book-to-market ratio factor on the excess returns of the stocks. The results demonstrated that the three factors can partially account for the variation in returns, with SMB having a more significant impact on small-cap companies and HML on firms with a high book-to-market ratio.

Keywords

Fama-French three-factor model, regression, rate of return, Chinese A-share market

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References

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Cite this article

Shi,J. (2023). An Empirical Study of the Chinese A-share Market Based on the Fama-French Three-Factor Model. Advances in Economics, Management and Political Sciences,16,54-59.

Data availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

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About volume

Volume title: Proceedings of the 2nd International Conference on Business and Policy Studies

Conference website: https://2023.confbps.org/

ISBN：978-1-915371-75-1(Print) / 978-1-915371-76-8(Online)

Conference date: 26 February 2023

Editor：Javier Cifuentes-Faura, Canh Thien Dang

Series: Advances in Economics, Management and Political Sciences

Volume number: Vol.16

ISSN：2754-1169(Print) / 2754-1177(Online)

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