Testing the Fama and French three factor model : evidence from China
The objective of the study is to examine the performance of the Fama and French three factor model in explaining the average cross-sectional returns in China stock market. The market, consisting of the Shanghai and Shenzhen stock exchange, is uniquely characterized by individual investors who based...
| Main Authors: | , , |
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| Other Authors: | |
| Format: | Final Year Project (FYP) |
| Language: | English |
| Published: |
2010
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/35488 |
| _version_ | 1811695421306699776 |
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| author | Ho, Qiao Yi Lee, Pearl Shi Qi Yang, Ryan Jing Liang |
| author2 | Chang Xin |
| author_facet | Chang Xin Ho, Qiao Yi Lee, Pearl Shi Qi Yang, Ryan Jing Liang |
| author_sort | Ho, Qiao Yi |
| collection | NTU |
| description | The objective of the study is to examine the performance of the Fama and French three factor model in explaining the average cross-sectional returns in China stock market. The market, consisting of the Shanghai and Shenzhen stock exchange, is uniquely characterized by individual investors who based their investments on market rumours. We tests the daily and monthly stock returns against the Fama-French three factors, namely excess market return, firm size and book-to-market ratio. Our findings reflect that the three factors on the daily data were found to have significant explanatory power, consistent with Fama and French’s (1992) findings. However, when using monthly data, the firm size factor was found to be insignificant in explaining the big firm portfolios’ returns. In addition, we found that the regression of the Fama-French three factors on the monthly data shows significant improvements in explanatory power in comparison to CAPM, particularly for the small size portfolios. |
| first_indexed | 2024-10-01T07:23:12Z |
| format | Final Year Project (FYP) |
| id | ntu-10356/35488 |
| institution | Nanyang Technological University |
| language | English |
| last_indexed | 2024-10-01T07:23:12Z |
| publishDate | 2010 |
| record_format | dspace |
| spelling | ntu-10356/354882023-05-19T06:16:17Z Testing the Fama and French three factor model : evidence from China Ho, Qiao Yi Lee, Pearl Shi Qi Yang, Ryan Jing Liang Chang Xin Nanyang Business School DRNTU::Business::Finance::Equity The objective of the study is to examine the performance of the Fama and French three factor model in explaining the average cross-sectional returns in China stock market. The market, consisting of the Shanghai and Shenzhen stock exchange, is uniquely characterized by individual investors who based their investments on market rumours. We tests the daily and monthly stock returns against the Fama-French three factors, namely excess market return, firm size and book-to-market ratio. Our findings reflect that the three factors on the daily data were found to have significant explanatory power, consistent with Fama and French’s (1992) findings. However, when using monthly data, the firm size factor was found to be insignificant in explaining the big firm portfolios’ returns. In addition, we found that the regression of the Fama-French three factors on the monthly data shows significant improvements in explanatory power in comparison to CAPM, particularly for the small size portfolios. BUSINESS 2010-04-19T07:54:29Z 2010-04-19T07:54:29Z 2010 2010 Final Year Project (FYP) http://hdl.handle.net/10356/35488 en Nanyang Technological University 51 p. application/pdf |
| spellingShingle | DRNTU::Business::Finance::Equity Ho, Qiao Yi Lee, Pearl Shi Qi Yang, Ryan Jing Liang Testing the Fama and French three factor model : evidence from China |
| title | Testing the Fama and French three factor model : evidence from China |
| title_full | Testing the Fama and French three factor model : evidence from China |
| title_fullStr | Testing the Fama and French three factor model : evidence from China |
| title_full_unstemmed | Testing the Fama and French three factor model : evidence from China |
| title_short | Testing the Fama and French three factor model : evidence from China |
| title_sort | testing the fama and french three factor model evidence from china |
| topic | DRNTU::Business::Finance::Equity |
| url | http://hdl.handle.net/10356/35488 |
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