Empirical Studies of Applicability of Fama-French Three-Factor Model in Chinese A-share Market

被引：0
|
作者：
Mao Chao-xuan [1 ]
Liu Tong [2 ]
Qu Shi-you [2 ]
机构：
[1] Shanghai Linxin Univ Accounting & Finance, Sch Math & Stat, Shanghai 201209, Peoples R China
[2] Harbin Inst Technol, Sch Management, Harbin 150001, Heilongjiang, Peoples R China
来源：
2017 24TH ANNUAL INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING | 2017年
关键词：
Chow test; Econometrics test; Fama-French three-factor model; GRS test; EQUILIBRIUM; RETURN; RISK;
D O I：
暂无
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper introduces the theory of Fama-French three-factor model and carries out the linear regression analysis of the average return rate of the stock in Chinese A-share market. Furthermore, the differences between Shanghai Stock Exchange and Shenzhen Stock Exchange are analyzed based on the results of Fama-French group in Shanghai and Shenzhen A-share market, Shanghai A-share market and Shenzhen A-share market, in order to test the applicability of three-factor model in Chinese stock market. Finally, the econometrics test, chow test and GRS test are respectively employed to check the validity of regression results, stability of regression coefficient and overall significance. The result suggests that Fama-French three-factor model applies to Chinese A-share market and is capable to explain the fluctuation of stock returns.
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页码：476 / 485
页数：10
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