Comparison Between the Fama-French Three-Factor Model and the Fama-French Five-Factor Model: An Empirical Study on China’s Stock Market

Kasoi Cheong ()
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Kasoi Cheong: Washington University in St. Louis

A chapter in Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023), 2023, pp 249-260 from Springer

Abstract: Abstract This paper compares the performance of the Fama-French three-factor model (FF3) and Fama-French five-factor model (FF5) in China’s stock market. The empirical result of the regression and GRS test demonstrates a stable size effect in China, which can be captured by these two models. In addition, compared to the three-factor model, the five-factor model, to a certain degree, can better explain the stock return in China over the sample period 2000–2020.

Keywords: Fama-French three-factor model; Fama-French five-factor model; China stock market (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-142-5_28

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DOI: 10.2991/978-94-6463-142-5_28

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