The Research of Fama-French Three-factor Model’s Applications in the Chinese Stock Market after the Financial Crisis
These authors contributed equally.
- DOI
- 10.2991/aebmr.k.220307.129How to use a DOI?
- Keywords
- Fama-French; The economic crisis; Chinese stock market
- Abstract
Nowadays, arguments about the three-factor model by Fama and French are becoming more and more various. In contrast, the effect that this model generates in China’s stock market is still not confirmed. This study employed the three-factor model to determine factors that have a big influence on the Chinese stock market and tell whether the three-factor model applies to the Chinese stock market. The regression between the portfolio returns and three factors was explored in the procedure of this study. As a result, we obtain that the market risk plays an important role in determining the price of stocks. However, the “big company effect” also exists, and elements affecting the stock pricing had not been all explained with the model used, which revealed that the existence of other potential factors also affects stock pricing.
- Copyright
- © 2022 The Authors. Published by Atlantis Press International B.V.
- Open Access
- This is an open access article under the CC BY-NC license.
Cite this article
TY - CONF AU - Zhaojun Guo AU - Yajun Shen AU - Zheyi Tang AU - Luyuan Wang PY - 2022 DA - 2022/03/26 TI - The Research of Fama-French Three-factor Model’s Applications in the Chinese Stock Market after the Financial Crisis BT - Proceedings of the 2022 7th International Conference on Financial Innovation and Economic Development (ICFIED 2022) PB - Atlantis Press SP - 799 EP - 805 SN - 2352-5428 UR - https://doi.org/10.2991/aebmr.k.220307.129 DO - 10.2991/aebmr.k.220307.129 ID - Guo2022 ER -