Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)

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Research on the Applicability of Factor Model to Chinese and American Stock Markets

Authors
Jiajun Tang1, *
1School of Finance and China Financial Research Institute, Southwestern University of Finance and Economics, Chengdu, 611130, China
*Corresponding author. Email: tangjiajun020810@smail.swufe.edu.cn
Corresponding Author
Jiajun Tang
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_24How to use a DOI?
Keywords
Applicability; Fama-French three-factor model; factor construction
Abstract

A three-factor model for the price of shares which is based on the CAPM was suggested by Fama. Two factors derived from public market information are added: market value (SMB) and book-to-market ratio (HML). Based on the stock data from June 30th, 2018 to May 31st, 2020, this article used a Fama-French three-factor model to test its applicability to equity markets in China and the United States through portfolio construction, and then compared the recognized factor model regression results in two countries. The study revealed that pattern adjustment of America is better than China, that is, the applicability of this factor model to the Chinese equity market is inferior to that of the US equity market. Chinese development characteristics and market conditions are unique, and its equity performance is affected by many factors. Methods for explaining China stock market still need to be further optimized. The model for explaining Chinese stock market still needs to be further optimized.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
26 September 2023
ISBN
10.2991/978-94-6463-246-0_24
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_24How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jiajun Tang
PY  - 2023
DA  - 2023/09/26
TI  - Research on the Applicability of Factor Model to Chinese and American Stock Markets
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 200
EP  - 206
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_24
DO  - 10.2991/978-94-6463-246-0_24
ID  - Tang2023
ER  -