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).
Belimam, D., Tan, Y., & Lakhnati, G. (2018). An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market. Asia-Pacific Financial Markets, 25(3), 249-265. https://doi.org/10.1007/s10690-018-9247-4