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Empirical studies of the three-factor CAPM model in the Shanghai A-share market

Author: QianZuo
Tutor: HuangYaJun
School: Fudan University
Course: World economy
Keywords: CAPM Economies of scale Value premium effect Three-factor model
CLC: F832.51
Type: Master's thesis
Year: 2010
Downloads: 591
Quote: 1
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Abstract


1850s, Markowitz starting from the efficient market hypothesis portfolio theory, pioneered the modern Investment. , Sharp (1664), Linter (1665) and Moisson (1966), respectively, as the basis for derivation of a general equilibrium capital asset pricing model (CAPM), think the differences in the rate of return on assets from the risk of different assets included differences, high yield means investors to take greater risks. Strict assumptions lead to CAPM theory after empirical research has been a growing number of challenges, including economies of scale, the value premium phenomenon, calendar effects and variety of the discovery of the \gradually lost convincing. In this regard, Fama and French for the first time the investment risk of the assets attributed to market risk, the scale of risk and value risk, market risk as a systemic risk, the risk characteristics of the latter two as a single portfolio or securities. Proceeding from this, Fama and French three factors, including market factors, scale factors, and the value of factors, including the CAPM model, and obtained good results in the empirical field. The article refers to the Fama-French three-factor model, an empirical study on the Shanghai A-share market from April 2000 to October 2009, found a similar size premium and value premium phenomenon in Europe and the United States and other developed capital markets. Value premium, articles borrowed Fama and French (1995) continued profitability differences related test, the operating results of the sample period investigated, found that value stocks do worse profitability than growth stocks, so that there is more investment risk. The size premium articles equity scale effect \operating costs and improve the profitability of the company; larger scale of the share capital, reducing the possibility of the company's stock manipulation by the banker. The three-factor regression model to explain the differences between the two groups of samples yield. Zero intercept hypothesis is rejected, but the contribution of various combinations of the excess yield consistent, there is no systematic difference. Excluding the characteristics of the risk factors of each combination of β is very close to the market value of the scale and the carrying amount of the market value of the ratio of the portfolio constructed by the dimensions of the scale factors and value factors showed assumptions consistent with the theoretical results: the performance of the small-scale group of scale factors a higher sensitivity, while the value of the group showed a higher sensitivity of value factors.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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