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

Doha Belimam, Yong Tan, Ghizlane Lakhnati

Research output: Contribution to journalArticle


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).
Original languageEnglish
Pages (from-to)249-265
Number of pages17
JournalAsia-Pacific Financial Markets
Issue number3
Early online date9 Jul 2018
Publication statusPublished - Sep 2018


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