Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)

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Analysis of Fama-French Five-Factor Model Applicability in Chinese A-Share Market

Authors
Zeyu Zhu1, *
1Department of Economics, University of Southampton, Southampton, UK
*Corresponding author. Email: zz44u22@soton.ac.uk
Corresponding Author
Zeyu Zhu
Available Online 26 September 2023.
DOI
10.2991/978-94-6463-246-0_6How to use a DOI?
Keywords
Factor Analysis; Fama&French 5-Factor model; Regression; A-share Market
Abstract

As it known that Fama and French proposed the five-factor model in 2015 and has been widely discussed by scholars and public. Being an emerging market, studying the Chinese stock market is of crucial importance, and Fama-French 5-factor model can be a very typical and effective tool for stock market analysis. To test the effectiveness of the 5-factor F&F model for the A-share market, this paper selects the 300 A-share equities from 2017 to 2021 as the data for the sample. Constructing weighted portfolio by crossing the size to B/M ratio, profitability, and investment, then analyzing the average monthly return of portfolio. Furthermore, by conducting the regression and GRS test, the results show that the 5-factor model overperforms the 3-factor model even though RMW and CMA have little influence on the A-share market. In general, the new factor profitability and investment improve the model slightly and the Fama&French 5-factor model is valid to the A-share market during 2017 to 2021.

Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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Volume Title
Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
Series
Advances in Economics, Business and Management Research
Publication Date
26 September 2023
ISBN
978-94-6463-246-0
ISSN
2352-5428
DOI
10.2991/978-94-6463-246-0_6How to use a DOI?
Copyright
© 2024 The Author(s)
Open Access
Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

Cite this article

risenwbib
TY  - CONF
AU  - Zeyu Zhu
PY  - 2023
DA  - 2023/09/26
TI  - Analysis of Fama-French Five-Factor Model Applicability in Chinese A-Share Market
BT  - Proceedings of the 3rd International Conference on Economic Development and Business Culture (ICEDBC 2023)
PB  - Atlantis Press
SP  - 42
EP  - 52
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-246-0_6
DO  - 10.2991/978-94-6463-246-0_6
ID  - Zhu2023
ER  -