Factor Models for Chinese A-Shares: Performance Comparison
Performance Comparison: The study evaluates asset pricing models in the Chinese Ashares market, concluding that a modified FamaFrench sixfactor model and a fourfactor model perform best, especially when transaction costs are factored in.
Featured in No. 22 on 18 Oct 2023 ·
- Released
- 10 Sep 2021
- First featured
- No. 22 · 18 Oct 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4605402
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).