Proceedings of the 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018)

Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market

Authors
Yanliang Zhang, Fanhao Li, Yue Gong
Corresponding Author
Yanliang Zhang
Available Online March 2018.
DOI
10.2991/iccese-18.2018.204How to use a DOI?
Keywords
capital asset pricing; Fama-French three-factor model; Fama-French five-factor Model
Abstract

Chinese securities market is still in the stage of development, Fama-French three-factor model is widely considered to be applicable in Chinese A-share Market, and the explanation ability of Fama-French five-factor model need to be researched. From empirical perspective, this paper takes 495 Shanghai A-share as samples, selected in May 2005 to April 2015 as the research range; the results show that Fama-French five-factor model is applicable in China stock market, but the explanation ability less than three-factor model. It provides reference for the capital asset pricing model in China.

Copyright
© 2018, 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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Volume Title
Proceedings of the 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018)
Series
Advances in Social Science, Education and Humanities Research
Publication Date
March 2018
ISBN
978-94-6252-495-8
ISSN
2352-5398
DOI
10.2991/iccese-18.2018.204How to use a DOI?
Copyright
© 2018, 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/).

Cite this article

TY  - CONF
AU  - Yanliang Zhang
AU  - Fanhao Li
AU  - Yue Gong
PY  - 2018/03
DA  - 2018/03
TI  - Research on the Applicability of Fama-French Five-factor Model in Chinese A-share Market
BT  - Proceedings of the 2nd International Conference on Culture, Education and Economic Development of Modern Society (ICCESE 2018)
PB  - Atlantis Press
SP  - 894
EP  - 898
SN  - 2352-5398
UR  - https://doi.org/10.2991/iccese-18.2018.204
DO  - 10.2991/iccese-18.2018.204
ID  - Zhang2018/03
ER  -