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Asia-Pacific Financial Markets

Erschienen in:

09.07.2018

An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market

verfasst von: Doha Belimam, Yong Tan, Ghizlane Lakhnati

Erschienen in: Asia-Pacific Financial Markets | Ausgabe 3/2018

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Abstract

This paper evaluates and compares the performance of three-asset pricing models—the capital asset pricing model of Sharpe (J Finance 19:425–442, 1964), the three-factor model of Fama and French (J Financ Econ 33:3–56, 1993), and the five-factor model (Fama and French in J Financ Econ 123:1–22, 2015)—in the Shanghai A-share exchange market. Our results do not support the superiority of the five-factor model and show that the three-factor model outperforms the other models. We also verify the redundancy of the book-to-market factor and confirm the findings of Fama and French (2015).

Vorheriger Artikel Industry Concentration, Firm Efficiency and Average Stock Returns: Evidence from Australia

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Titel: An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market
verfasst von: Doha Belimam
Yong Tan
Ghizlane Lakhnati
Publikationsdatum: 09.07.2018
Verlag: Springer Japan
Erschienen in: Asia-Pacific Financial Markets / Ausgabe 3/2018
Print ISSN: 1387-2834
Elektronische ISSN: 1573-6946
DOI: https://doi.org/10.1007/s10690-018-9247-4