The alternative three factor model : evidence from China

• المؤلفون الرئيسيون: Chua, Victor Kim Loong, Sheng, Yuanhai, Tan, Aik Siong, Yee, Jun Xian
• مؤلفون آخرون: Chang Xin
• التنسيق: Final Year Project
• اللغة: English
• منشور في: 2013
• الموضوعات: DRNTU::Business::Finance::Capital market; DRNTU::Business::Finance::Equity
• الوصول للمادة أونلاين: http://hdl.handle.net/10356/51539
• المؤسسة: Nanyang Technological University

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...