28-31 August 2018
Angers - France
Europe/Paris timezone

Profitability and investment factors in the Chinese stock returns

Not scheduled
15m
Angers - France

Angers - France

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

Presentation Materials

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