The Inverse Relationship between ROE and Stock Returns in Chinese Stock Market
- Title
- The Inverse Relationship between ROE and Stock Returns in Chinese Stock Market
- Other Titles
- 중국주식시장에 기업수익성 과 주식수익률의 관계 연구
- Author
- ZHENG CHENMIN
- Alternative Author(s)
- 정신민
- Advisor(s)
- 강형구
- Issue Date
- 2019. 8
- Publisher
- 한양대학교
- Degree
- Master
- Abstract
- This study analyzes the effect of Fama French 5 factor model in stocks returns on Chinese A-share market. We select all A shares from May 2000 to April 2019, 228 months. We find that in average excess returns for the 25 Size-OP portfolios and 32 Size-B/M-OP portfolios, small size and lowest operating profitability stock portfolios have a higher excess return than small size and highest OP stock portfolios.
Through regression, we find that the five-factor model has explanatory power for excess returns of the A-share market, but it is not better than the three-factor model. In the five-factor model, the size effect is most significant, operating profitability factor has a significant effect in explanatory excess returns but RMW’s t-value is too low to reject zero and needs more research. Investment and value effect is not significant in the A-share market. We also added a momentum factor and construct a six-factor model. The five-factor model and six-factor model have similar explanatory to the A-share market, but UMD factor performs better than CMA factor.
- URI
- https://repository.hanyang.ac.kr/handle/20.500.11754/109642http://hanyang.dcollection.net/common/orgView/200000435912
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > STRATEGIC MANAGEMENT(전략경영학과) > Theses (Master)
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