Asset Pricing in China’s Stock Market

Lu Yu

Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China

Research Article

Asset Pricing in China’s Stock Market

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Cite: BibTeX Plain Text

@INPROCEEDINGS{10.4108/eai.6-1-2023.2330345,
    author={Lu  Yu},
    title={Asset Pricing in China’s Stock Market},
    proceedings={Proceedings of the 2nd International Conference on Big Data Economy and Digital Management, BDEDM 2023, January 6-8, 2023, Changsha, China},
    publisher={EAI},
    proceedings_a={BDEDM},
    year={2023},
    month={6},
    keywords={asset pricing model fama and french five-factor model chinese stock market},
    doi={10.4108/eai.6-1-2023.2330345}
}

Lu Yu
Year: 2023
Asset Pricing in China’s Stock Market
BDEDM
EAI
DOI: 10.4108/eai.6-1-2023.2330345

Lu Yu¹^,*

1: University of California Davis

*Contact email: yulu2023@yahoo.com

Abstract

This paper tests four main-stream asset pricing model with China’s stock market information. We use stock return data from CSMAR and constructed China Stock Market Factor. The result suggests that the Fama and French (2014) five-five model is a better description of Chinese market than the Fama and French (1993) three-factor model.

Keywords: asset pricing model fama and french five-factor model chinese stock market

Published: 2023-06-13
Publisher: EAI

: http://dx.doi.org/10.4108/eai.6-1-2023.2330345