Study on Applicability of Fama-French Five-Factor Model in Chinese A-Share Market

DOI

10.2991/ssmi-19.2019.16How to use a DOI?

Keywords

Fama-French Five-Factor Model; Asset Pricing; Excess Return; China’s A-Share Market.

Abstract

This paper takes the monthly data of China A-share market from March 1999 to April 2019 as the data sample, mainly focusing on analyzing the applicability of five factors in A-share market and the explanatory ability of CMA and RMW for excess returns. The conclusions are as follows: 1. Market risk premium, market value factor and book-to-market ratio factor are highly significant, and RMW adjusted by three-factor model is not redundant; 2. Linear regression and GRS test results show that CMA factor can explain the excess return in A-share market to some extent, yet its explanatory capability is still questionable; 3. Five-factor model has better explanatory ability than three-factor model in A-share market; 4. The performance of each model is better after the stock reform , which shows that the stock reform beginning in 2005 makes the price of A-share market more reasonable and the stock market more effective.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Rui Qin
PY  - 2019/12
DA  - 2019/12
TI  - Study on Applicability of Fama-French Five-Factor Model in Chinese A-Share Market
BT  - Proceedings of the 2nd International Symposium on Social Science and Management Innovation (SSMI 2019)
PB  - Atlantis Press
SP  - 491
EP  - 500
SN  - 2352-5398
UR  - https://doi.org/10.2991/ssmi-19.2019.16
DO  - 10.2991/ssmi-19.2019.16
ID  - Qin2019/12
ER  -