Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/68251
Title: The Fama-French three factors in Chinese stock market
Authors: Xu, J
Zhang, S 
Keywords: Chinese stock market
Non-tradable shares
Three-factor model
Value premium
Issue Date: 2014
Publisher: 香港理工大學, 清華大學合辦牛津大學出版社
Source: China accounting and finance review (中國會計與財務硏究), 2014, v. 16, no. 2, p. 210-227 How to cite?
Journal: China accounting and finance review (中國會計與財務硏究) 
Abstract: China is the largest emerging market and attracts a great deal of attention from investors and researchers worldwide. The Fama-French three-factor model is the outcome of decades of research on U.S. stock returns. To what extent the three factors explain the variation in Chinese stock returns is an intriguing question. This paper documents empirical evidence on this issue and identifies some pitfalls that arise in the application of the three-factor model to Chinese stock returns. We find that several special features in China affect the three factors considerably and also influence the explanatory power of the three-factor model.
URI: http://hdl.handle.net/10397/68251
ISSN: 1029-807X
EISSN: 2307-3055
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