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An Empirical Study of China's Agriculture, Forestry and Fishery Industry Based on the Fama-French Three-Factor Model
- 1 Hunan University
* Author to whom correspondence should be addressed.
Abstract
Agriculture, forestry, animal husbandry and fishery enterprises have performed steadily and well during the epidemic period from late 2019 to the end of February 2020. But there is still a gap in empirical analysis, which deserves further research. This study examines the Fama-French three-factor model's application to China's agricultural, forestry, animal husbandry, and fisheries sectors, and analyzing and interpreting the related results. In this study, the daily return data of 27 Chinese agriculture, forestry and fishery listed companies in the past two years were obtained through the RESSET, and divided into six groups of stock portfolios according to size and book-to-market ratio size, and the relevant empirical and regression analyses were conducted for each portfolio using Python and Eviews. The findings demonstrate that the size impact and book-to-market ratio effect are two parameters in the model that have a high explanatory power on the return of the agriculture, forestry, and fishery stock portfolio in the sample period.
Keywords
Fama-French three-factor model, agriculture, rate of return, OLS regression
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Cite this article
Zhang,Y. (2023). An Empirical Study of China's Agriculture, Forestry and Fishery Industry Based on the Fama-French Three-Factor Model. Advances in Economics, Management and Political Sciences,16,60-64.
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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