Undergraduate Thesis

Fama-French Five Factor Model in China Stock Market Author: Guofeng ZhangMentor: Linsen Yin Abstract:This paper firstly focus on the application of Fama-French five factor model in Chinese stock market, by sampling A-share listed firms for the period from July 1995 to December 2017. The explanatory power of each factor is explored by the redundancy test and regression analysis. The validity of the three-factor model and the five-factor model are tested by GRS test and three measures of regression intercept term proposed by Fama & French (2015). Then, using the time of Split-share structure reform as the cut-off point, we repeat the above tests for the sample periods and compare the change of the capital market efficiency before and after Split-share structure reform     Read more
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Troy Feb 18, 2018