Research Article
Analysis of Chinese Market Based on Fama and French Five-Factor Model
@INPROCEEDINGS{10.4108/eai.18-11-2022.2327139, author={Jiayi Li}, title={Analysis of Chinese Market Based on Fama and French Five-Factor Model}, proceedings={Proceedings of the 4th International Conference on Economic Management and Model Engineering, ICEMME 2022, November 18-20, 2022, Nanjing, China}, publisher={EAI}, proceedings_a={ICEMME}, year={2023}, month={2}, keywords={fama and french five-factor model chinese stock market shenzhen small medium enterprise board (sme) exchange stocks markets}, doi={10.4108/eai.18-11-2022.2327139} }- Jiayi Li
Year: 2023
Analysis of Chinese Market Based on Fama and French Five-Factor Model
ICEMME
EAI
DOI: 10.4108/eai.18-11-2022.2327139
Abstract
Studies based on the asset pricing model are popular in the academic financial field; many researchers produce mixed results by constructing and improving factor models. However, Fama and French five-factor model (2015) is seldom used in the Chinese stock market. This paper constructs the Fama and French five-factor model, confirming that the size effect strongly influences the Chinese stock market between 1994 and 2021, while the value factor is redundant for the Chinese market. Plus, several analyses in the paper indicate different exchanges where stocks are listed have little influence on monthly returns; A-share and B-share have similar monthly returns in the Chinese stock market. Further analysis also discusses the relationship between the size factor and the monthly return of the SME index.