Empirical Study on Traditional Chinese Medicine Industry-Based on Fama-French Three-Factor Model

Zixuan Luo ()
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Zixuan Luo: Shandong University

A chapter in Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023), 2024, pp 194-199 from Springer

Abstract: Abstract The traditional Chinese medicine industry has received more and more attention in the market. This paper is aimed to gain a deeper understanding of traditional Chinese culture, the traditional Chinese medicine. And provide direction for investors and policy development. This paper based on Fama-French three-factor model, market factor, factor of size, and B/M ratio factor are as three explanatory variables, while select 28 listed companies in the traditional Chinese medicine industry as the research objects. Divide 28 stocks into six portfolios according to the size and B/M ratio, with the monthly return rate of six portfolio from 2020 to 2022 as the explained variable, conducting empirical testing and regression analysis. And the tests make known that the changes in portfolio return can be explained by the three factors within the sample in different degree. This paper also compared the CAPM model with the Fama-French Three-factor model to find out that the Fama-French three-factor model fits this industry better.

Keywords: Linear Regression; Factor Analysis; Fama-French model (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:spr:advbcp:978-94-6463-246-0_23

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DOI: 10.2991/978-94-6463-246-0_23

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