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

Doha  Belimam; Yong Tan; Ghizlane Lakhnati

doi:10.1007/s10690-018-9247-4

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

Doha Belimam, Yong Tan, Ghizlane Lakhnati

Ibn Zohr University

Research output: Contribution to journal › Article › peer-review

10 Citations (Scopus)

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).

Original language	English
Pages (from-to)	249-265
Number of pages	17
Journal	Asia-Pacific Financial Markets
Volume	25
Issue number	3
Early online date	9 Jul 2018
DOIs	https://doi.org/10.1007/s10690-018-9247-4
Publication status	Published - Sept 2018

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 8 Decent Work and Economic Growth
SDG 9 Industry, Innovation, and Infrastructure

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Cite this

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title = "An Empirical Comparison of Asset-Pricing Models in the Shanghai A-Share Exchange Market",

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).",

keywords = "Fama–French models, Capital asset pricing model, Shanghai exchange market",

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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).

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

Abstract

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