Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)

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Test and Analysis of the Leading Factor of Excess Return of Industry Sector in China Stock Market

Authors
Jihui Shi1, *, Yichen Lu2, Zeyu Gao2, Jun Wang3
1School of Economics & Management, Huzhou University, Huzhou, China
2School of Information Engineering, Huzhou University, Huzhou, China
3Zhejiang University of Water Resources and Electric Power, Hangzhou, China
*Corresponding author. Email: sjh@zjhu.edu.cn
Corresponding Author
Jihui Shi
Available Online 10 August 2023.
DOI
10.2991/978-94-6463-198-2_139How to use a DOI?
Keywords
Fama-French; Industry sector; Asset pricing
Abstract

We use Fama-French to empirically analyze 2,288 portfolios of 26 China stock market industry sectors from 2016 to 2020 of industry sectors. The results show that: Although factor effect is common in China stock market industry sector, it shows obvious difference in factor dominance, among which 19 and 21 industry plates have positive size effect and reverse value effect respectively. In terms of RMW and Inv, only 8 and 9 industry segments’ excess return can be explained by FF-4 and FF-5. SMB and HML play a leading role in explaining the excess return of 12 and 15 industry groups. The research conclusion provides support for further research on the yield interpretation model suitable for China stock market characteristics.

Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
Series
Atlantis Highlights in Computer Sciences
Publication Date
10 August 2023
ISBN
10.2991/978-94-6463-198-2_139
ISSN
2589-4900
DOI
10.2991/978-94-6463-198-2_139How to use a DOI?
Copyright
© 2023 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Jihui Shi
AU  - Yichen Lu
AU  - Zeyu Gao
AU  - Jun Wang
PY  - 2023
DA  - 2023/08/10
TI  - Test and Analysis of the Leading Factor of Excess Return of Industry Sector in China Stock Market
BT  - Proceedings of the 2nd International Academic Conference on Blockchain, Information Technology and Smart Finance (ICBIS 2023)
PB  - Atlantis Press
SP  - 1336
EP  - 1343
SN  - 2589-4900
UR  - https://doi.org/10.2991/978-94-6463-198-2_139
DO  - 10.2991/978-94-6463-198-2_139
ID  - Shi2023
ER  -