Applicability Test and Existing Problems of Multi-factor Model in Chinese Market
Test of Three-factor and Four-factor Models in the A-share Market
Authors
Gang Wang1, *, †, Haolang Zhao1, †, Hxz032@student.bham.ac.uk
1University of Birmingham School of Mathematics, Shanghai, China
1University of Birmingham School of Mathematics, Shaoyang, China
†
These authors contributed equally.
*Corresponding author. Email:gxw991@student.bham.ac.uk
Corresponding Author
Gang Wang
Available Online 26 March 2022.
- DOI
- 10.2991/aebmr.k.220307.266How to use a DOI?
- Keywords
- component; Factor model; Chinese market; A-share market fund company; improved factor model; policy-oriented; group-oriented; impulsive (key words)
- Abstract
This article uses three-factor and four-factor models to analyze its applicability in the Chinese market by using data collected by China’s A-share market fund companies from 2015 to 2020. By observing the size of the alpha value and combining with the current status of the Chinese market, we discovered the policy-oriented, group-oriented, and impulsive characteristics of the Chinese market, and introduced several other improved factor models to extend and explain the conclusions.
- 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.
Cite this article
TY - CONF AU - Gang Wang AU - Haolang Zhao PY - 2022 DA - 2022/03/26 TI - Applicability Test and Existing Problems of Multi-factor Model in Chinese Market BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 1630 EP - 1636 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.266 DO - 10.2991/aebmr.k.220307.266 ID - Wang2022 ER -