Interactions of factor-based stock market anomalies in the Chinese stock markets
Zhang, Chi (2023)
Pro gradu -tutkielma
2023
School of Business and Management, Kauppatieteet
Kaikki oikeudet pidätetään.
Julkaisun pysyvä osoite on
https://urn.fi/URN:NBN:fi-fe20230922136182
https://urn.fi/URN:NBN:fi-fe20230922136182
Tiivistelmä
This study critically examines the applicability of Fama-French factors on the Chinese AShare market from 2013 to 2023, utilizing monthly data to analyze 75 portfolios differentiated based on size, book-to-market ratio, operating profitability, and investment strategies. The research employs time-series regressions and GRS tests to assess the descriptive accuracy of the three-factor, five-factor, and an enhanced five-factor model incorporating the momentum factor.
Results demonstrate the five-factor model's better explanatory power concerning average returns, characterized by reduced absolute returns, augmented adjusted R-squares, and diminished GRS statistics. Of the factors within this model, the market, size, and value factors stand out in their significance, whereas the book-to-market, profitability, and investment factors lag in importance. Interestingly, the introduction of an additional momentum factor does not amplify the model's explanatory capability.
This study's insights could benefit both academics and practitioners. For portfolio managers and individual investors, understanding these anomaly interactions can guide more effective asset allocation and risk management strategies. Meanwhile, academics gain a deeper comprehension of the underlying nature of factor anomalies in emerging markets, further enriching the global finance discourse.
Results demonstrate the five-factor model's better explanatory power concerning average returns, characterized by reduced absolute returns, augmented adjusted R-squares, and diminished GRS statistics. Of the factors within this model, the market, size, and value factors stand out in their significance, whereas the book-to-market, profitability, and investment factors lag in importance. Interestingly, the introduction of an additional momentum factor does not amplify the model's explanatory capability.
This study's insights could benefit both academics and practitioners. For portfolio managers and individual investors, understanding these anomaly interactions can guide more effective asset allocation and risk management strategies. Meanwhile, academics gain a deeper comprehension of the underlying nature of factor anomalies in emerging markets, further enriching the global finance discourse.