Three-factor model in China stock market
Yu Shi · Journal of systems engineering · 2002
With the monthly stock returns, prices and corporate financial statements data from July 1995 to June 2000, the size effect, book_to_market effect, E/P ratio effect, and price effect are found to be obvious in China stock market. These effects can not be explained by their market β′s, but if two other factors: size factor and book_to_market factor are added, the three_factor model of Fama_French′s explains the effects quite well in China stock market . The three_factor model can also explain the different behaviors of stock indexes in the China stock market.