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Erschienen in:
2023 | OriginalPaper | Buchkapitel
The Applicability of Fama-French Multifactoral Model in the Stock Investment of China’s New Energy Industry
verfasst von : Shanshen Li, Qimeng Hao, Yaqian Liu, Jiaqi Meng
Erschienen in: Innovative Computing Vol 2 - Emerging Topics in Future Internet
Verlag: Springer Nature Singapore
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Abstract
Based on the stock trading data of new energy industry in China’s Shanghai and Shenzhen A-share markets from 1999 to 2021, this paper compares and analyzes the application of Fama-French five factor model and three factor model in the prediction of excess return. The research finds that: (1) Fama-French five factor model is effective in China’s new energy industry market, and the five factor model is better than the three factor model in predicting the average rate of return of China’s new energy industry; (2) The average abnormal return rate of Chinese new energy industry stocks can be explained by market factor, market value factor, profitability factor and investment level factor. The book to market ratio factor is a "redundant factor"; (3) In contrast, market effect and scale effect are the leading factors affecting the stock return of China’s new energy industry, and the effects of profitability and investment level are relatively limited.