| Issue |
SHS Web Conf.
Volume 163, 2023
2023 8th International Conference on Social Sciences and Economic Development (ICSSED 2023)
|
|
|---|---|---|
| Article Number | 01020 | |
| Number of page(s) | 6 | |
| Section | Economic Trade and Financial Investment Analysis | |
| DOI | https://doi.org/10.1051/shsconf/202316301020 | |
| Published online | 28 April 2023 | |
An empirical analysis of the applicability of the Fama-French five-factor model and the three-factor model to China’s stock market – Based on validated evidence from listed Chinese Internet companies
Jinan Thomas school, 666 Boxue Road, China
* Corresponding author: 2076583793@qq.com
Previous research on the Fama-French three-factor (FFTF) model in domestic academia has been dominated; while the literature and applications of applying the Fama-French five-factor (FFFF) to study the Chinese stock market are scarce, and the only few articles are contradictory in their respective conclusions. This study examines the applicability of the FFTF model and FFFF model in the Chinese stock market, starting from the empirical analysis of these two models respectively. The results of this paper conclude that the FFTF model has an overall concentration of fit of over 80 %, while the FFFF model has a concentration of fit of over 89 %, thus confirming that the FFFF model is more suitable for explaining and predicting the returns of Internet-listed companies in the Chinese stock market. However, the shortcomings of in the estimation of the value factor parameters in FFTF and FFFF models still exist, and there is still a need to improve on the original model.
© The Authors, published by EDP Sciences, 2023
This is an Open Access article distributed under the terms of the Creative Commons Attribution License 4.0 (https://creativecommons.org/licenses/by/4.0/).
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.