Factor Pricing Models in Different Market Trends: Evidence from China

主讲人: 王彧


主持人: 林细细

AbstractThe historical crashes of the Chinese stock market in 2007-2008 and 2015-2016 provide a good proving ground for testing the performance of the Fama-French models in different market trends. By employing daily returns, we find that the Fama-French models explain equity returns quite well in our sample. More importantly, this over-performance seems to appear when the market is in a crash than in a soaring or fluctuating market. This finding is confirmed by the results of time-series regressions, GRS F-tests, Fama-MacBeth regressions, and other metrics. However, Hansen’s (1992) instability tests suggest that the Fama-French model is hardly constant over time and tends to present a higher level of instability in the crash than in the recovery of the market. We also provide explanations for these seemingly conflicting findings.

时间: 2019-05-29(Wednesday)16:40-18:00
地点: N302
主办单位: 经济学院、王亚南经济研究院
承办单位: 经济研究所
类型: 系列讲座