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Chinese Journal of Management Science ›› 2004, Vol. ›› Issue (6): 12-17.

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Cross-Sectional Variations and Three Factors Asset Pricing Model:Empirical Evidences from China A Share Market

CHEN Zhan-hui1,2   

  1. 1. School Economics and Business Administration, Beijing Normal University, Beijing 100875, China;
    2. School of Economics and Management, Tsinghua University, Beijing 100084, China
  • Received:2003-08-01 Revised:2004-09-17 Online:2004-12-28 Published:2012-03-07

Abstract: We study the cross-sectional expected stock returns and test the Fama-French three factors model in A shares of Shanghai and Shenzhen Stock Exchange.The empirical findings confirm the size effect and book-equity to market equity effect.Fama-French three factors model can capture the common variation of cross-sectional expected stock returns,but fails to account for the momentum and contrarian effects.

Key words: size effect, BE/ME effect, Fama-French three factors model

CLC Number: