Advances in Economics, Management and Political Sciences

- The Open Access Proceedings Series for Conferences


Proceedings of the 2nd International Conference on Financial Technology and Business Analysis

Series Vol. 61 , 28 December 2023


Open Access | Article

The Investigation of China Stock in Fama-French Model Based on High-end Equipment Manufacturing Industry

Sida Chen * 1
1 Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, HongKong, China

* Author to whom correspondence should be addressed.

Advances in Economics, Management and Political Sciences, Vol. 61, 71-80
Published 28 December 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 Sida Chen. The Investigation of China Stock in Fama-French Model Based on High-end Equipment Manufacturing Industry. AEMPS (2023) Vol. 61: 71-80. DOI: 10.54254/2754-1169/61/20230847.

Abstract

This study investigates the elements of return and chance in the very good-quality hardware manufacturing sector by directing empirical research and far-reaching analysis. The research centers around building six portfolios considering market esteem scale and book-to-market ratio to explore the relevance of the Fama-French factor analysis model. Our discoveries uncover important patterns, including a backward connection between the book-to-market ratio and rates of return, as well as higher paces of return for bigger scope portfolios, featuring a scale impact. The meaning of positive month-to-month yields across all portfolio blends underlines the business' general profitability from 2015 to 2021. Thorough stationarity tests approve our relapse analysis, where market risk factor(MKT), scale factor (SMB), and book-to-market ratio factor (HML) altogether impact stock portfolio returns. By adjusting our discoveries to past writing and featuring the model's viability in various sectors, our review adds to a more extensive comprehension of asset pricing and illuminates powerful investment methodologies custom-fitted to explicit market elements.

Keywords

High-end equipment manufacturing, Fama-French three-factor model, Investment portfolios, Market dynamics, Systematic risk-return relationships

References

1. Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.

2. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.

3. Chen, S., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. The Journal of Business, 59(3), 383-403.

4. Fama, E. F., & French, K. R. (1992). The cross-section of expected stock returns. The Journal of Finance, 47(2), 427-465.

5. Hull, J. (2012). Risk management and financial institutions,+ Web Site (Vol. 733). John Wiley & Sons.

6. Liu, L., & Zhang, L. (2008). Testing the Fama and French three-factor model in China stock trading scenarios. Journal of International Financial Markets, Institutions and Money, 18(2), 112-123.

7. Luu, L. (2015). Mutual Funds and Exchange-Traded Funds (ETFs). Personal Finance: An Encyclopedia of Modern Money Management, 168.

8. Liang T., Liu H. & Li S. (2020). The Rise of China's Banking Industry Competitiveness and the Evolution of the Global Banking Industry Competition Landscape. Economist (12), 88-97. doi:10.16158/j.cnki.51-1312/ f.2020.12.010.Fangfang. Research on power load forecasting based on Improved BP neural network. Harbin Institute of Technology, 2011.

9. Cheng Y., & Cheng K. (2020). Designing Stock Investment Strategies Based on Financial Statements. Journal of Beijing Institute of Printing and Printing (S1), 102-105. doi:10.19461/j.cnki.1004-8626.2020.s1.033.

10. Ren K. (2023). Determination of CAPM model discount rate in enterprise valuation. Shopping Mall Modernization (01), 114-116. doi:10.14013/j.cnki.scxdh.2023.01.043.

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 2nd International Conference on Financial Technology and Business Analysis
ISBN (Print)
978-1-83558-223-7
ISBN (Online)
978-1-83558-224-4
Published Date
28 December 2023
Series
Advances in Economics, Management and Political Sciences
ISSN (Print)
2754-1169
ISSN (Online)
2754-1177
DOI
10.54254/2754-1169/61/20230847
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