Explanatory power of three-factor model on A-share market of Shanghai Exchange in China

DOI

10.2991/asshm-13.2013.47How to use a DOI?

Keywords

Three-factor model; Size effect; Book-to-market effect

Abstract

In foreign countries, Fama-French three factor model of size effect and BM (book-to-market) effect shows good ex-planatory power. As an emerging market, using three-factor model to explain Chi-nese stock market anomalies is worthy of study. This paper built portfolios of Shanghai A-shares and found size effect and BM effect, that is, rate of return of small-cap portfolio is higher than large-cap portfolio, and high BM ratio portfolio is higher than low BM ratio portfolio. Econometric analysis found that three-factor model can explain A-share market of Shanghai Exchange well.

Copyright

© 2013, 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  - Zijing Meng
AU  - Ronghua Ju
PY  - 2013/12
DA  - 2013/12
TI  - Explanatory power of three-factor model on A-share market of Shanghai Exchange in China
BT  - Proceedings of the 2013 International Conference on Advances in Social Science, Humanities, and Management
PB  - Atlantis Press
SP  - 251
EP  - 255
SN  - 1951-6851
UR  - https://doi.org/10.2991/asshm-13.2013.47
DO  - 10.2991/asshm-13.2013.47
ID  - Meng2013/12
ER  -