Apply Five-factor Asset Pricing Model in Chinese Market
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DOI: 10.23977/edms.2019.030
Author(s)
Yiming Xia, Minghui Xu, Qingyan Li, Li Ju
Corresponding Author
Yiming Xia
ABSTRACT
In 2014, Fama and French changed their three-factor model (FF, 1993) to five- factor model and claimed that it performs better after testing NYSE, AMEX, and NASDAQ stocks. However, whether five-factor model is also effective in Chinese is not certain, because Chinese stock market is quite different from the US market. For example, in Chinese stock market, shares are divided into two categories, tradable shares and non-tradable shares. Moreover, non-tradable shares are dominant with nearly 75% in a Chinese public firm. This paper aims to test whether five-factor is efficient in Chinese market using data from CSMAR.
KEYWORDS
Five-factor, Chinese market, stocks, CAPM
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