TY - JOUR
T1 - An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market
AU - Belimam, Doha
AU - Tan, Yong
AU - Lakhnati, Ghizlane
N1 - This is a post-peer-review, pre-copyedit version of an article published in Asia-Pacific Financial Markets. The final authenticated version is available online at: http://dx.doi.org/10.1007/s10690-018-9247-4
PY - 2018/9
Y1 - 2018/9
N2 - 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).
AB - 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).
KW - Fama–French models
KW - Capital asset pricing model
KW - Shanghai exchange market
UR - http://www.scopus.com/inward/record.url?scp=85049648799&partnerID=8YFLogxK
U2 - 10.1007/s10690-018-9247-4
DO - 10.1007/s10690-018-9247-4
M3 - Article
VL - 25
SP - 249
EP - 265
JO - Asia-Pacific Financial Markets
JF - Asia-Pacific Financial Markets
SN - 1380-2011
IS - 3
ER -
