Proceedings of the 2nd International Symposium on Social Science and Management Innovation (SSMI 2019)

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

Authors
Rui Qin
Corresponding Author
Rui Qin
Available Online December 2019.
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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Volume Title
Proceedings of the 2nd International Symposium on Social Science and Management Innovation (SSMI 2019)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
December 2019
ISBN
978-94-6252-855-0
ISSN
2352-5398
DOI
10.2991/ssmi-19.2019.16How to use a DOI?
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/).

Cite this article

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  -