With the increasing openness of capital market and supervision of stock market, plenty of scholars have made new explorations on the effectiveness of CAPM in Chinese stock market. On this basis, the way to improve the model according to the characteristics of the market is necessary to be further evaluated. Based on the analysis, this paper finds that CAPM and its related three-factor and five-factor models are not very suitable for Chinese stock market. However, CAPM series models are more suitable for the development of more mature Hong Kong stock market. The CAPM model can be improved by replacing redundant factors and adding new effective factors according to market characteristics to make it more suitable for selecting market. These results shed light on guiding further investigations to make appropriate improvements to CAPM series models.
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