Research and Test of the Three Factor-Factor Model in Chinese Stock Market
MA Yong-kai · Systems Engineering-Theory Methodology Application · 2005
The three factor-factor Model, established by Fama-French, is considered to describe cross-sectional stock returns better than CAPM. Based on the newest 48-month stock data from 01 2000 to 12 2003, we research and test the model of industry. We found the model is suitable for Chinese Industry Stock Market. At the same time, we test the ‘month effect’. Our researches have important theoretical and practical valuation, provides some condition for risk budgeting and the selection,forecast,and decision of investment portfolios.