An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market

Doha Belimam (), Yong Tan and Ghizlane Lakhnati
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Doha Belimam: ENSA, Ibn Zohr University
Yong Tan: University of Huddersfield
Ghizlane Lakhnati: ENSA, Ibn Zohr University

Asia-Pacific Financial Markets, 2018, vol. 25, issue 3, No 4, 249-265

Abstract: Abstract This paper evaluates and compares the performance of three-asset pricing models—the capital asset pricing model of Sharpe (J Finance 19:425–442, 1964), the three-factor model of Fama and French (J Financ Econ 33:3–56, 1993), and the five-factor model (Fama and French in J Financ Econ 123:1–22, 2015)—in the Shanghai A-share exchange market. Our results do not support the superiority of the five-factor model and show that the three-factor model outperforms the other models. We also verify the redundancy of the book-to-market factor and confirm the findings of Fama and French (2015).

Keywords: Fama–French models; Capital asset pricing model; Shanghai exchange market (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s10690-018-9247-4

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