An Empirical Investigation of the Multi-factor and Three- factor Pricing Model in Chinese stock market

摘要：

We propose a Multi-factor (including macro-economic variable, microeconomic variable and market variable) and a Three Factor (including intrinsic value, technical factor, and liquidity) asset pricing models, and carries on the empirical study of China’s stock market. It reports that market return essentially affects on individual stock return, and β is significantly positive ranging from 0.41 to 0.53. EPS exerts the strongest positive influence on stock price, with the coefficient close to 1; while GDP growth rate, money supply, deposit interest rate, inflation rate, saving amount, and loan amount exert significant negative influence. The result demonstrates that we can effectively find out the key factors of stock pricing by the Multi-factor model, while the Three Factor Model can well price them.

关键词： Multi-factor Model Three- factor Model Technical factor Liquidity

作者: Chengjian Su

作者单位: Chengjian Su is from the School of Business at Shantou University. Shantou City, Guangdong Province, ZipCode:515063,China. The authors thank H.Henry Cao for helpful comments.

会议类型: 国际会议

会议名称: 2006年中国国际金融年会

会议地点: 西安

会议语种:英文

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）