The Research of Fama-French Three-factor Model’s Applications in the Chinese Stock Market after the Financial Crisis

DOI

10.2991/aebmr.k.220307.129How to use a DOI?

Keywords

Fama-French; The economic crisis; Chinese stock market

Abstract

Nowadays, arguments about the three-factor model by Fama and French are becoming more and more various. In contrast, the effect that this model generates in China’s stock market is still not confirmed. This study employed the three-factor model to determine factors that have a big influence on the Chinese stock market and tell whether the three-factor model applies to the Chinese stock market. The regression between the portfolio returns and three factors was explored in the procedure of this study. As a result, we obtain that the market risk plays an important role in determining the price of stocks. However, the “big company effect” also exists, and elements affecting the stock pricing had not been all explained with the model used, which revealed that the existence of other potential factors also affects stock pricing.

Copyright

© 2022 The Authors. Published by Atlantis Press International B.V.

Open Access

This is an open access article under the CC BY-NC license.

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TY  - CONF
AU  - Zhaojun Guo
AU  - Yajun Shen
AU  - Zheyi Tang
AU  - Luyuan Wang
PY  - 2022
DA  - 2022/03/26
TI  - The Research of Fama-French Three-factor Model’s Applications in the Chinese Stock Market after the Financial Crisis
BT  - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022)
PB  - Atlantis Press
SP  - 799
EP  - 805
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.220307.129
DO  - 10.2991/aebmr.k.220307.129
ID  - Guo2022
ER  -