An Empirical Study of China's Agriculture, Forestry and Fishery Industry Based on the Fama-French Three-Factor Model

Research Article
Open access

An Empirical Study of China's Agriculture, Forestry and Fishery Industry Based on the Fama-French Three-Factor Model

Yijie Zhang 1*
  • 1 Hunan University    
  • *corresponding author 1850690161@hnu.edu.cn
Published on 13 September 2023 | https://doi.org/10.54254/2754-1169/16/20230976
AEMPS Vol.16
ISSN (Print): 2754-1177
ISSN (Online): 2754-1169
ISBN (Print): 978-1-915371-75-1
ISBN (Online): 978-1-915371-76-8

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

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.
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References

[1]. Wang, Hanru. (2020). The impact of the epidemic on key industries and regions and recommendations. Overseas Investment and Export Credit (03), 20-22.

[2]. Li, Kaixuan. (2022). Study on the applicability of capital asset pricing model (CAPM) in China's stock market. Bohai Rim Economic Outlook (04), 157-160. doi:10.16457/j.cnki.hbhjjlw.2022.04.029.

[3]. EUGENE F. FAMA and KENNETH R. FRENCH. (1992). The Cross‐Section of Expected Stock Returns. The Journal of Finance, 47(2), pp. 427-465.

[4]. William F. Sharpe. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*. The Journal of Finance, 19(3), pp. 425-442.

[5]. Xu, Jiayu. (2022).A study on the applicability of Fama-French three-factor model and its liquidity correction model to China's science and technology board. China Collective Economy(16),89-93.

[6]. Yang Zunhan. (2022). A test of CAPM model and Fama-French three-factor model for China's A-share market. Journal of Economic Research (08), 117-119.

[7]. Shi Run. (2021). An analysis of China's sports industry stocks based on the Fama-French three-factor model. Times Finance(11),78-79+82.

[8]. Ou Zhonghang. (2021).A study on the applicability of Fama-French three-factor model to explain the stock returns of China's real estate industry. China Price(08),95-97.

[9]. Eugene F. Fama and Kenneth R. French. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), pp.1-22.

[10]. R. Yan and J. Bao, "Analysis of Application of Fama-French 3-factor Model and Fama-French 5-factor Model in Manufacture Industry and Health Industry," 2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID), 2020, pp. 158-163, doi:10.1109/MSIEID52046.2020.00036.

[11]. Guo, Chu-Hsi. (2019).An empirical test of Fama-French three-factor model and five-factor model for A-share steel firms. Hebei Enterprise (06),33-36.

[12]. Serge Rugwiro and SungSup Brian Choi.(2019). Re-examination of Fama–French Models in the Korean Stock Market. Asia-Pacific Financial Markets, 26(1), pp. 23-4

[13]. Xueqing Zang. (2021).An empirical study on the application of Fama-French three-factor model in China's home appliance industry. Investment and Entrepreneurship (08), 25-27.

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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About volume

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

ISBN：978-1-915371-75-1(Print) / 978-1-915371-76-8(Online)
Editor：Javier Cifuentes-Faura, Canh Thien Dang
Conference website: https://2023.confbps.org/
Conference date: 26 February 2023
Series: Advances in Economics, Management and Political Sciences
Volume number: Vol.16
ISSN：2754-1169(Print) / 2754-1177(Online)

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References

[1]. Wang, Hanru. (2020). The impact of the epidemic on key industries and regions and recommendations. Overseas Investment and Export Credit (03), 20-22.

[2]. Li, Kaixuan. (2022). Study on the applicability of capital asset pricing model (CAPM) in China's stock market. Bohai Rim Economic Outlook (04), 157-160. doi:10.16457/j.cnki.hbhjjlw.2022.04.029.

[3]. EUGENE F. FAMA and KENNETH R. FRENCH. (1992). The Cross‐Section of Expected Stock Returns. The Journal of Finance, 47(2), pp. 427-465.

[4]. William F. Sharpe. (1964). CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*. The Journal of Finance, 19(3), pp. 425-442.

[5]. Xu, Jiayu. (2022).A study on the applicability of Fama-French three-factor model and its liquidity correction model to China's science and technology board. China Collective Economy(16),89-93.

[6]. Yang Zunhan. (2022). A test of CAPM model and Fama-French three-factor model for China's A-share market. Journal of Economic Research (08), 117-119.

[7]. Shi Run. (2021). An analysis of China's sports industry stocks based on the Fama-French three-factor model. Times Finance(11),78-79+82.

[8]. Ou Zhonghang. (2021).A study on the applicability of Fama-French three-factor model to explain the stock returns of China's real estate industry. China Price(08),95-97.

[9]. Eugene F. Fama and Kenneth R. French. (2015). A five-factor asset pricing model. Journal of Financial Economics, 116(1), pp.1-22.

[10]. R. Yan and J. Bao, "Analysis of Application of Fama-French 3-factor Model and Fama-French 5-factor Model in Manufacture Industry and Health Industry," 2020 Management Science Informatization and Economic Innovation Development Conference (MSIEID), 2020, pp. 158-163, doi:10.1109/MSIEID52046.2020.00036.

[11]. Guo, Chu-Hsi. (2019).An empirical test of Fama-French three-factor model and five-factor model for A-share steel firms. Hebei Enterprise (06),33-36.

[12]. Serge Rugwiro and SungSup Brian Choi.(2019). Re-examination of Fama–French Models in the Korean Stock Market. Asia-Pacific Financial Markets, 26(1), pp. 23-4

[13]. Xueqing Zang. (2021).An empirical study on the application of Fama-French three-factor model in China's home appliance industry. Investment and Entrepreneurship (08), 25-27.

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