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

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).
LanguageEnglish
Pages249-265
Number of pages17
JournalAsia-Pacific Financial Markets
Volume25
Issue number3
Early online date9 Jul 2018
DOIs
Publication statusPublished - Sep 2018

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Five-factor model
Fama-French three-factor model
Asset pricing models
Shanghai
Capital asset pricing model
Book-to-market
Finance
Market factors
Redundancy

Cite this

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An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market. / Belimam, Doha ; Tan, Yong; Lakhnati, Ghizlane.

In: Asia-Pacific Financial Markets, Vol. 25, No. 3, 09.2018, p. 249-265.

Research output: Contribution to journalArticle

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