Please use this identifier to cite or link to this item:
http://hdl.handle.net/10397/90138
| Title: | The Fama-French three factors in the Chinese stock market | Authors: | Xu, J Zhang, S |
Issue Date: | Jun-2014 | Source: | China accounting and finance review (中國會計與財務硏究), June 2014, v. 16, no. 2, p. 210-227 | 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 US 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. | Keywords: | Chinese stock market Non-tradable shares Three-factor model Value premium |
Publisher: | Hong Kong Polytechnic University | Journal: | China accounting and finance review (中國會計與財務硏究) | ISSN: | 1029-807X | EISSN: | 2307-3055 | Rights: | © The Author(s) 2014. This article is published with open access by The Hong Kong Polytechnic University CAFR is an open access journal. All articles published open access will be immediately and permanently free for everyone to read, download, copy and distribute. Permitted reuse is defined by the terms under the Creative Commons Attribution License (https://creativecommons.org/licenses/), which permits any use, distribution, and reproduction in any medium, provided the original author(s) and the source are credited. The following publication Xu, J. & Zhang, S. (2014). The Fama-French three factors in the Chinese stock market. China Accounting and Finance Review 16(2), 210-227 is available at https://af.polyu.edu.hk/research/our-journals/china-accounting-and-finance-review-cafr/ |
| Appears in Collections: | Journal/Magazine Article |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| a0748-n07_1392.pdf | 795.05 kB | Adobe PDF | View/Open |
Access
View full-text via PolyU eLinks 
Page views
36
Last Week
3
3
Last month
Citations as of May 28, 2023
Downloads
55
Citations as of May 28, 2023
Google ScholarTM
Check
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.