Beta, Size and Value Factors in the Chinese Stock Returns

Doha Belimam () and Ghizlane Lakhnati
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Doha Belimam: Ibn Zohr University
Ghizlane Lakhnati: Ibn Zohr University

Chapter Chapter 15 in Advances in Time Series Data Methods in Applied Economic Research, 2018, pp 205-208 from Springer

Abstract: Abstract This paper evaluates the performance of the three-factor model and investigates the explanatory power of firm size and book-to-market ratio in the Shanghai A-share exchange market over the January 2011–December 2016 period. Our results are in line with the findings of Fama and French (1993) and support the superiority of the three-factor model over the CAPM.

Keywords: Fama-French model; 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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Persistent link: https://EconPapers.repec.org/RePEc:spr:prbchp:978-3-030-02194-8_15

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DOI: 10.1007/978-3-030-02194-8_15

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