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

Author

Listed:
  • Doha Belimam

    (ENSA, Ibn Zohr University)

  • Yong Tan

    (University of Huddersfield)

  • Ghizlane Lakhnati

    (ENSA, Ibn Zohr University)

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).

Suggested Citation

  • Doha Belimam & Yong Tan & Ghizlane Lakhnati, 2018. "An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 25(3), pages 249-265, September.
    • Handle: RePEc:kap:apfinm:v:25:y:2018:i:3:d:10.1007_s10690-018-9247-4
    DOI: 10.1007/s10690-018-9247-4
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    References listed on IDEAS

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    More about this item

    Keywords

    Fama–French models; 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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