Advances in Economics, Management and Political Sciences

- The Open Access Proceedings Series for Conferences


Proceedings of the 7th International Conference on Economic Management and Green Development

Series Vol. 43 , 10 November 2023


Open Access | Article

Applicability of Each Pricing Model in the Chinese Stock Market

Wenxiao Cao * 1
1 Shanghai University

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 43, 11-16
Published 10 November 2023. © 2023 The Author(s). Published by EWA Publishing
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
Citation Wenxiao Cao. Applicability of Each Pricing Model in the Chinese Stock Market. AEMPS (2023) Vol. 43: 11-16. DOI: 10.54254/2754-1169/43/20232116.

Abstract

In order to obtain a higher long-term average return from a portfolio, investors need to increase the level of risks that cannot be dispersed by diversification in the portfolio, and the asset pricing model can help investors to judge how much risk is reasonable to take. This paper will introduce the development process of several asset pricing models, and integrate and overview the applicability of the above several asset pricing models in China’s capital market by combining the relevant research of domestic and foreign scholars over the years based on existing literature and data analysis results. Finally, it can be found that due to its strict prerequisites, Capital Asset Pricing Model (CAPM) has the lowest applicability in the Chinese stock market, while the Five-Factor Model and the pricing model based on beta decomposition both have good applicability, but it is hard to say which one is the best one to adapt to the Chinese stock market at present.

Keywords

Chinese capital markets, CAPM model, APT model, three-factor model, five-factor model

References

1. Zhenzhizhuojian. Development Course of Our Capital Market, https://zhuanlan.zhihu.com/p/449411758. (2021).

2. HGFR. Our Country Multi-level Capital Market Develops Present Situation and Question, https://www.thepaper.cn/newsDetail_forward_13507570. (2021).

3. Jiexitouzi. Comparison of Chinese and American Securities Markets, https://www.sohu.com/a/305115040_100243475#:~:text=%E5%AF%B9%E6%AF%94%E4%B8%80%E4%B8%8B%E4%BD%A0%E5%B 0%B1%E4%BC%9A%E5%8F%91,%E8%89%B2%E7%9A%84%E6%8A%95%E 8%B5%84%E6%96%B9%E6%B3%95%E8%AE%BA%E3%80%82. (2019).

4. Hu Xuejie, & Xie Mingyang. Capital Asset Pricing Model Based on China A-Share Market Data [J]. Economic Perspective, (9):117. 2019.

5. Sun Xiaochun, Kong Weijun. Investment Value of Listed Companies Based on Stock Valuation Method Analysis — Taking Alcoholic Wine as An Example [J]. Business Accounting, (16): 42-44. (in Chinese) 2018.

6. Yang Chaojun, & Xing Jing. Empirical Test of CAPM in Shanghai Stock Market [J]. Journal of Shanghai Jiao Tong University, (03): 59-64. 1998.

7. Xiong Pengfei. Empirical Analysis of CAPM — Market-Based Effectiveness Test [J]. Modern Economic Information, (8): 285-286. 2019.

8. Jiang Lirong. Test Research on Asset Pricing Model of Chinese Stock Market [D]. Jinan University, 2007.

9. Wenxia Mao. A Research on the Adaptability of Pricing Model in China’s Shares Market Based on Beta Decomposition. (2022).

10. Zhang Xiaoe, & Zhao Xuan. Capital Asset Pricing Model and Empirical Research Based on Downside Risk [J]. Science and Technology Capital News, (29): 18. 2009.

Data Availability

The datasets used and/or analyzed during the current study will be available from the authors upon reasonable request.

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License. Authors who publish this series agree to the following terms:

1. Authors retain copyright and grant the series right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgment of the work's authorship and initial publication in this series.

2. Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the series's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgment of its initial publication in this series.

3. Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See Open Access Instruction).

Volume Title
Proceedings of the 7th International Conference on Economic Management and Green Development
ISBN (Print)
978-1-83558-107-0
ISBN (Online)
978-1-83558-108-7
Published Date
10 November 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/43/20232116
Copyright
© 2023 The Author(s)
Open Access
This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited

Copyright © 2023 EWA Publishing. Unless Otherwise Stated