The Comparison of Fama-French Five-Factor Model in Chinese A-share Stock Market and in Real Estate Sector

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dc.contributor Aalto University en
dc.contributor Aalto-yliopisto fi
dc.contributor.advisor Puttonen, Vesa
dc.contributor.author Shao, Yufang
dc.date.accessioned 2017-04-13T07:55:20Z
dc.date.available 2017-04-13T07:55:20Z
dc.date.issued 2017
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/25069
dc.description.abstract Purpose of the study This paper aims to test Fama-French five factors model in the Chinese A-share stock markets and in the real estate industry in order to better understand the Chinese markets and to provide the Chinese investors a reliable asset pricing model. Data and methodology The data is mainly extracted from Datastream. The tracking period is from July 1st 2002 to December 31st 2015 in total 162 months. There were more than 3000 listed companies in the Chinese A-share market and 138 listed companies in the real estate industry in this study. The methodology is mainly to apply Fama-French five factors model in the Chinese A-share stock markets and in the real estate industry along with other tests such as Durbin-Watson test and multicollinearity to evaluate the model performance. Findings The Fama-French five factors model performs well in the Chinese A-share market and the Chinese real estate industry with the data from July 2002 to December 2015. Value factor is not helpful on explaining the excess return of either A-share size-B/M portfolio or real estate industry size-B/M portfolio. The reason why value factor is insignificant in explaining A-share is the speculative environment in Chinese stock market. However, speculation is not the key which makes value factor insignificant in real estate market. Investment factor has limited explanatory power in the A-share size-B/M portfolio too. Surprisingly, five factors model performs better in the Chinese real estate industry than in the Chinese A-share market because five out of six factors are significant at 5 % level and the factors are less correlated. en
dc.format.extent 55
dc.format.mimetype application/pdf en
dc.language.iso en en
dc.title The Comparison of Fama-French Five-Factor Model in Chinese A-share Stock Market and in Real Estate Sector en
dc.type G2 Pro gradu, diplomityö fi
dc.contributor.school Kauppakorkeakoulu fi
dc.contributor.school School of Business en
dc.contributor.department Rahoituksen laitos fi
dc.subject.keyword Fama-French en
dc.subject.keyword five-factor model en
dc.subject.keyword Chinese A-share market en
dc.subject.keyword real estate industry en
dc.identifier.urn URN:NBN:fi:aalto-201704133391
dc.type.ontasot Master's thesis en
dc.type.ontasot Maisterin opinnäyte fi
dc.programme Finance en
dc.subject.helecon rahoitus fi
dc.subject.helecon osakemarkkinat fi
dc.subject.helecon kiinteistöt fi
dc.subject.helecon sijoitukset fi
dc.subject.helecon Kiina fi
dc.ethesisid 14956
dc.location P1 I fi


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