RESEARCH ON THE STOCK RETURN IN CHINA-A-SHARE MARKET BASED ON THE FAMA-FRENCH THREE-FACTOR MODEL

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WANSHA, CHEN (2022) RESEARCH ON THE STOCK RETURN IN CHINA-A-SHARE MARKET BASED ON THE FAMA-FRENCH THREE-FACTOR MODEL. [Dissertation (University of Nottingham only)]

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Abstract

This article focused on the applicability of the three-factor model to the Chinese A-share market. The efficiency of the application of the three-factor model to the Chinese financial market was tested by comparing the degree of fit, applicability and explanatory power of the CAPM model and the Fama- French three-factor model under time series in the process of testing the latest empirical data on the A-share market by setting up portfolios with different weighted-average sizes and book-to-market equity.

Item Type: Dissertation (University of Nottingham only)
Depositing User: Chen, Wansha
Date Deposited: 06 Jul 2023 13:42
Last Modified: 06 Jul 2023 13:42
URI: https://eprints.nottingham.ac.uk/id/eprint/70626

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