The five-factor asset pricing model tests for the Chinese stock market

Bin Guo, Wei Zhang, Yongjie Zhang and Han Zhang

Pacific-Basin Finance Journal, 2017, vol. 43, issue C, 84-106

Abstract: We provide out-of-sample tests of the five-factor model introduced by Fama and French (2015a) for the Chinese stock market. We find strong size, value and profitability patterns in average returns, but weak investment pattern. For portfolios we test, we find that the profitability factor significantly improves the description of average return, however, the investment factor makes marginal contributions. Factor spanning tests prove that the investment factor is redundant during 07/1995–06/2015 and 07/1997–12/2013 for the Chinese stock market. More importantly, the five-factor model passes the GRS tests of Gibbons et al. (1989) for most of portfolios we test.

Keywords: Asset pricing model; Five-factor model; Chinese stock market (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (52)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:43:y:2017:i:c:p:84-106

DOI: 10.1016/j.pacfin.2017.02.001

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