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Factors In The Returns On Stock : Inspiration From Fama And French Asset Pricing Model, Yuanzhen Jiang
Factors In The Returns On Stock : Inspiration From Fama And French Asset Pricing Model, Yuanzhen Jiang
Lingnan Journal of Banking, Finance and Economics
Under the inspiration of Fama and French asset pricing model, this paper mainly studies the relationship between the month return of A shares and the factors that may have an effect on the stocks’ month return. It also compares the differences in the reaction of all shares and GEM board shares to these factors. It is important to highlight that these factors include the market, firm size, earnings and book-to-market information. The data used in this project comes from the quarterly data of China stock market from March of 2000 to December of 2011 and was used in panel model …