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Beta, Size and Value Factors in the Chinese Stock Returns

  • Doha BelimamEmail author
  • Ghizlane Lakhnati
Conference paper
Part of the Springer Proceedings in Business and Economics book series (SPBE)

Abstract

This paper evaluates the performance of the three-factor model and investigates the explanatory power of firm size and book-to-market ratio in the Shanghai A-share exchange market over the January 2011–December 2016 period. Our results are in line with the findings of Fama and French (1993) and support the superiority of the three-factor model over the CAPM.

Keywords

Fama-French model Capital asset pricing model Shanghai exchange market 

JEL Classification

G1 C5 

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Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  1. 1.Laboratory of Industrial and Computer Engineering, National, School of Applied SciencesIbn Zohr UniversityAgadirMorocco

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