The alternative three factor model : evidence from China
We examine the performance of the Alternative Three-Factor Model of Chen et al. (2011) in China. Conducting regression analysis using monthly returns of 25 portfolios formed by size and book-to-market-equity, we find that the model underperforms CAPM and the Fama-French Three-Factor Model in explain...
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| Main Authors: | , , , |
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| Other Authors: | |
| Format: | Final Year Project |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10356/51539 |
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| Institution: | Nanyang Technological University |
| Language: | English |