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Beta, Size and Value Factors in the Chinese Stock Returns

In: Advances in Time Series Data Methods in Applied Economic Research

Author

Listed:
  • Doha Belimam

    (Ibn Zohr University)

  • Ghizlane Lakhnati

    (Ibn Zohr University)

Abstract

This paper evaluates the performance of the three-factor model and investigates the explanatory power of firm size and book-to-market ratio in the Shanghai A-share exchange market over the January 2011–December 2016 period. Our results are in line with the findings of Fama and French (1993) and support the superiority of the three-factor model over the CAPM.

Suggested Citation

  • Doha Belimam & Ghizlane Lakhnati, 2018. "Beta, Size and Value Factors in the Chinese Stock Returns," Springer Proceedings in Business and Economics, in: Nicholas Tsounis & Aspasia Vlachvei (ed.), Advances in Time Series Data Methods in Applied Economic Research, chapter 0, pages 205-208, Springer.
    • Handle: RePEc:spr:prbchp:978-3-030-02194-8_15
    DOI: 10.1007/978-3-030-02194-8_15
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    More about this item

    Keywords

    Fama-French model; Capital asset pricing model; Shanghai exchange market;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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