Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17–19, 2023, Beijing, China

Research Article

The Empirical Research on Time-series Efficiency in Technology Industry, based on CAPM, Fama-French Three-Factor model, and Fama-French Five-Factor Model

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  • @INPROCEEDINGS{10.4108/eai.17-11-2023.2342678,
        author={Ruihan  Gao},
        title={The Empirical Research on Time-series Efficiency in Technology Industry, based on CAPM, Fama-French Three-Factor model, and Fama-French Five-Factor Model},
        proceedings={Proceedings of the 5th International Conference on Economic Management and Model Engineering, ICEMME 2023, November 17--19, 2023, Beijing, China},
        publisher={EAI},
        proceedings_a={ICEMME},
        year={2024},
        month={2},
        keywords={optimal portfolio capm fama-french three-factor model fama-french five-factor model},
        doi={10.4108/eai.17-11-2023.2342678}
    }
    
  • Ruihan Gao
    Year: 2024
    The Empirical Research on Time-series Efficiency in Technology Industry, based on CAPM, Fama-French Three-Factor model, and Fama-French Five-Factor Model
    ICEMME
    EAI
    DOI: 10.4108/eai.17-11-2023.2342678
Ruihan Gao1,*
  • 1: Zhuhai College of Science and Technology
*Contact email: DavidRuihanGao@stu.zcst.edu.cn

Abstract

Technical companies are renowned as stock market hotspots and are popular among investors. In light of the foregoing, this research uses excel solver to find the optimal portfolio by maximizing the Sharpe Ratio, then this research employs three widely used asset pricing models (CAPM, FF3F, and FF5F) and ten years data (2012/10/1-2022/9/30) to calculate the optimal expected return as the experimental group, moreover, this research uses four intervals data into three models to calculate the result of the contrast group to help investors making their decisions. This paper comes to a conclusion that the optimal portfolio expected return predicted by the CAPM with alpha is more accurate than the other models in short interval (1month, 2 months, 3 months, 6 months), whereas, FF5F performs better than the others in long interval(1 year). This paper's conclusion includes an investing strategy of technical enterprises for investors. Additionally, it also assists investors in allocating an optimal portfolio.