Review of Asset Pricing Theory and Empirical Research

DOI

10.2991/aebmr.k.210319.137How to use a DOI?

Keywords

Asset Pricing, Empirical Research, Factor Models, China Stock Market

Abstract

This article describes the main asset pricing theories and models and explores the Capital Asset Pricing Model (hereinafter referred to as “CAPM”), the Fama-French three-factor model (hereinafter referred to as “FFTFM”), the Carhart four-factor model (hereinafter referred to as “CFFM”), the Fama-French five-factor model (hereinafter referred to as “FFFFM”), and the Q-factor model (hereinafter referred to as “QFM”) in major mature securities markets. The applicability of the above and the applicability in the Chinese stock market, and the applicability of these models in the Chinese stock market are compared, and it is found that these pricing models are not strong in explaining the Chinese stock market. Then combine the characteristics of the domestic market to study the further improvement of the model. Finally, some ideas are put forward for the future research direction of the pricing model.

Copyright

© 2021, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Zhenzhen Zhao
PY  - 2021
DA  - 2021/03/22
TI  - Review of Asset Pricing Theory and Empirical Research
BT  - Proceedings of the 6th International Conference on Financial Innovation and Economic Development (ICFIED 2021)
PB  - Atlantis Press
SP  - 733
EP  - 738
SN  - 2352-5428
UR  - https://doi.org/10.2991/aebmr.k.210319.137
DO  - 10.2991/aebmr.k.210319.137
ID  - Zhao2021
ER  -