The Fama and French three-factor model in developing markets: evidence from the Chinese markets
| Autor: | Man Li, Michael Dempsey |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | Investment Management & Financial Innovations, Vol 15, Iss 1, Pp 46-57 (2018) |
| Druh dokumentu: | article |
| ISSN: | 1810-4967 1812-9358 |
| DOI: | 10.21511/imfi.15(1).2018.06 |
| Popis: | The authors study the Fama and French three-factor (FF-3F) model in relation to a developing market. To this end, they consider Chinese stock markets over the period 1995–2008, which is to say, over a period when these markets are recognized as “developing” markets influenced by speculative activity. The authors find that the model appears to be working as a form of “principal component analysis for the determinants of stock price formation with book-to-market (B/M) as the “variable of choice” on account of that it captures the earnings-to-price (E/P), cash-flow-to-price (C/P) and sales-to-price (S/P) variables while remaining largely uncorrelated with firm size (whereas E/P, C/P and S/P are themselves positively correlated with firm size). The variables, however, are unrelated to risk as represented by market exposure, volatility, or leverage. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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