Speaker
Ms
DOHA BELIMAM
(ENSA)
Description
Abstract
This paper evaluates the performance of the five-factor model and investigates the explanatory power of firm size, book-to-market, profitability and investment ratios in the Shanghai A-share exchange market over the January 2011 – December 2016 period. Our results do not support the findings of Fama and French (2015, 2017) and show that the five-factor model is outperformed by the three-factor model.
Keywords: Fama-French models, capital asset pricing model, Shanghai exchange market
JEL classification: G1, C5
Primary author
Ms
DOHA BELIMAM
(ENSA)
Co-author
Mrs
GHIZLANE LAKHNATI
(ENSA)
