Comparison Between the Fama-French Three-Factor Model and the Fama-French Five-Factor Model: An Empirical Study on China’s Stock Market

DOI

10.2991/978-94-6463-142-5_28How to use a DOI?

Keywords

Fama-French three-factor model; Fama-French five-factor model; China stock market

Abstract

This paper compares the performance of the Fama-French three-factor model (FF3) and Fama-French five-factor model (FF5) in China’s stock market. The empirical result of the regression and GRS test demonstrates a stable size effect in China, which can be captured by these two models. In addition, compared to the three-factor model, the five-factor model, to a certain degree, can better explain the stock return in China over the sample period 2000–2020.

Copyright

© 2023 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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TY  - CONF
AU  - Kasoi Cheong
PY  - 2023
DA  - 2023/05/15
TI  - Comparison Between the Fama-French Three-Factor Model and the Fama-French Five-Factor Model: An Empirical Study on China’s Stock Market
BT  - Proceedings of the 8th International Conference on Financial Innovation and Economic Development (ICFIED 2023)
PB  - Atlantis Press
SP  - 249
EP  - 260
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-142-5_28
DO  - 10.2991/978-94-6463-142-5_28
ID  - Cheong2023
ER  -