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| Fama-French Five Factor Model in China Stock Market |
| LI Zhibing, YANG Guangyi, FENG Yongchang, JING Liang
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Guanghua School of Management, Peking University;
Beijing Quanttech Information Technology Co. Ltd. |
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Abstract This paper focuses on the application of Fama-French five factor model in China stock market, by sampling A-share listed firms for the period from July 1994 to August 2015. Our main conclusions are: (1) size effect and book-to-market effect are significant, when profitability effect and investment effect remain but neither momentum nor reversal after three-factor adjustment in all ample test; (2) five-factor model performs better than CAPM, three-factor model and Carhart model; (3) market risk dominates before Split-share structure reform while profitability, investment and momentum factors are redundant, but the latters get priced after the reform;(4) there exists significant reversal effect adjusted by five-factor model after the reform; (5) the difference between realized and expected return is more close to zero after the reform, which means capital market tends to be more effective.
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Received: 22 March 2016
Published: 18 January 2018
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