Add to ORKGIn foreign countries, Fama-French three factor model of size effect and BM (book-to-market) effect shows good ex-planatory power. As an emerging market, using three-factor model to explain Chi-nese stock market anomalies is worthy of study. This paper built portfolios of Shanghai A-shares and found size effect and BM effect, that is, rate of return of small-cap portfolio is higher than large-cap portfolio, and high BM ratio portfolio is higher than low BM ratio portfolio. Econometric analysis found that three-factor model can explain A-share market of Shanghai Exchange well
During the past two decades, many scholars have studied the applicability of the capital asset prici...
There is a lack of empirical evidence of whether the size and value premium are present in emerging ...
Since inception, China’s stock market has grown rapidly and has become one of the most important eme...
This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese...
This research attempts to test the performance of the Fama-French three-factor model (1993) in expla...
The objective of the study is to examine the performance of the Fama and French three factor model i...
This study tests the performance of the Fama-French three-factor model (1993) in explaining the stoc...
Using monthly data from China's Shanghai Stock Exchange (SSE) A-share market between 2005 and 2...
The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shangh...
The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shangh...
This dissertation aims to examine the size effect pattern on stock returns based on asset pricing mo...
Chinese stock market has been growing at a rapid rate since the establishment, and has become the se...
The Fama and French three factor model introduced two variables (size and book to market value) to c...
With data of monthly stock returns, prices, trading volumes, and corporate financial statements from...
We examine the performance of the Alternative Three-Factor Model of Chen et al. (2011) in China. Con...
During the past two decades, many scholars have studied the applicability of the capital asset prici...
There is a lack of empirical evidence of whether the size and value premium are present in emerging ...
Since inception, China’s stock market has grown rapidly and has become one of the most important eme...
This study applied the Fama-French three-factor model (1993) and CAPM to examine A-shares in Chinese...
This research attempts to test the performance of the Fama-French three-factor model (1993) in expla...
The objective of the study is to examine the performance of the Fama and French three factor model i...
This study tests the performance of the Fama-French three-factor model (1993) in explaining the stoc...
Using monthly data from China's Shanghai Stock Exchange (SSE) A-share market between 2005 and 2...
The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shangh...
The Fama-French three-factor asset pricing formula is applied to the Chinese A-share markets: Shangh...
This dissertation aims to examine the size effect pattern on stock returns based on asset pricing mo...
Chinese stock market has been growing at a rapid rate since the establishment, and has become the se...
The Fama and French three factor model introduced two variables (size and book to market value) to c...
With data of monthly stock returns, prices, trading volumes, and corporate financial statements from...
We examine the performance of the Alternative Three-Factor Model of Chen et al. (2011) in China. Con...
During the past two decades, many scholars have studied the applicability of the capital asset prici...
There is a lack of empirical evidence of whether the size and value premium are present in emerging ...
Since inception, China’s stock market has grown rapidly and has become one of the most important eme...