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

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Empirical Study on Traditional Chinese Medicine Industry-Based on Fama-French Three-Factor Model

Authors
Zixuan Luo1, *
1Shandong University, Jinan, 264209, Shandong, China
*Corresponding author. Email: 202000620443@mail.sdu.edu.cn
Corresponding Author
Zixuan Luo
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_23How to use a DOI?
Keywords
Linear Regression; Factor Analysis; Fama-French model
Abstract

The traditional Chinese medicine industry has received more and more attention in the market. This paper is aimed to gain a deeper understanding of traditional Chinese culture, the traditional Chinese medicine. And provide direction for investors and policy development. This paper based on Fama-French three-factor model, market factor, factor of size, and B/M ratio factor are as three explanatory variables, while select 28 listed companies in the traditional Chinese medicine industry as the research objects. Divide 28 stocks into six portfolios according to the size and B/M ratio, with the monthly return rate of six portfolio from 2020 to 2022 as the explained variable, conducting empirical testing and regression analysis. And the tests make known that the changes in portfolio return can be explained by the three factors within the sample in different degree. This paper also compared the CAPM model with the Fama-French Three-factor model to find out that the Fama-French three-factor model fits this industry better.

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
978-94-6463-246-0
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_23How 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  - Zixuan Luo
PY  - 2023
DA  - 2023/09/26
TI  - Empirical Study on Traditional Chinese Medicine Industry-Based on Fama-French Three-Factor Model
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 194
EP  - 199
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_23
DO  - 10.2991/978-94-6463-246-0_23
ID  - Luo2023
ER  -