The Fama-French Three Factors in Chinese Stock Market

Trading Volume and Fama-French Three Factor Model on Excess Return. Empirical Evidence from Nairobi Security Exchange

“…De Pena, Forner, and López-Espinosa (2010), while evaluating the relevance of the Fama-French model in Spanish capital market and employing regression analysis found that value premium had a positive relationship with some portfolios and a negative value with some other portfolios in the market. They support those of Xu and Zhang (2014), while investigating the relevance of the three factor model in pricing of assets in China found that the value premium had positive and negative effect on some of the portfolios and that the effect was a statistically significant. Vakilifard, and Heirany, (2013), employed linear regression in Iran in an attempt to assess the role of Fama-French in assets pricing in Iran found that the value premium had a negative effect on the return of stocks.…”

The Real Value of China's Stock Market

“…On the other hand, consistent with Cakici, Chan, and Topyan (2011), the WML factor returns are insignificant. Xu and Zhang (2013) provide a comprehensive analysis of the Fama-French factor portfolios and their ability to explain size and book-to-market effects in stock returns in China. We use these China factor portfolios to check the robustness of our previous results and then examine correlations and investment opportunities across countries in the next section.…”

Positive Return–Volatility Correlation and Short Sale Constraints: Evidence from the Chinese Market

“… The returns of the Fama‐French three‐factor portfolio could be constructed using the Fama‐French procedure or by following the procedure of Xu and Zhang () for the Chinese market. We obtain the data directly from the WIND database. …”