IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v58y2022i8p2153-2180.html
   My bibliography  Save this article

Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China

Author

Listed:
  • Haicheng Shu
  • Yu Wang
  • Jie Yuan

Abstract

This paper examines the performance of three famous factor pricing models in markets of bull, bear, and consolidation in China. Empirical results show that these models explain the time-series variations in portfolio returns in bearish market reasonably well, but fail to explain the cross-sectional variations. Another two findings are revealed by instability tests. First, the three models are more unstable in trending (i.e., bearish and bullish) markets under time-series regression due to the higher stock price synchronicity. Second, greater instability causes the unitary parameter estimates less reliable and brings about difficulties in explaining the cross-sectional portfolio returns in trending markets.

Suggested Citation

  • Haicheng Shu & Yu Wang & Jie Yuan, 2022. "Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 58(8), pages 2153-2180, June.
    • Handle: RePEc:mes:emfitr:v:58:y:2022:i:8:p:2153-2180
    DOI: 10.1080/1540496X.2021.1964949
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2021.1964949
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2021.1964949?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:58:y:2022:i:8:p:2153-2180. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.