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Which factors in China? A pre-registered report

Author

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  • Gharghori, Philip
  • Nguyen, Annette

Abstract

We evaluate the ability of the asset pricing models of Liu, Stambaugh and Yuan (2019) and Fama and French (2018) to price Chinese stocks. Our model comparisons are conducted using spanning tests following Barillas and Shanken (2017) and maximum squared Sharpe ratios following Barillas, Kan, Robotti and Shanken (2020). We will first examine the models of Liu et al. (2019) and Fama and French (2018) in isolation. Next, we will conduct horse race tests between the models. The superior model will be determined based on spanning regressions and a comparison of the maximum squared Sharpe ratios derived from the model's factors.

Suggested Citation

  • Gharghori, Philip & Nguyen, Annette, 2025. "Which factors in China? A pre-registered report," Pacific-Basin Finance Journal, Elsevier, vol. 91(C).
    • Handle: RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x24003147
    DOI: 10.1016/j.pacfin.2024.102562
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    More about this item

    Keywords

    Asset pricing; Factor models; Spanning tests; China;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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