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• W2260301265 abstract "Asset Pricing is a longstanding problem in finance. In this paper, we evaluate both the one factor model and the Fama-French three factor model for the Chinese capital market from 1997-2004. The model specifications include (i) without an intercept, (ii) with an intercept and (iii) with a jump component. A generalized spectral derivative test recently proposed by Hong and Lee (2005a, 2005b) is used for model specification analysis. The empirical results show that the intercept does not help improve the goodness of fit for both one factor and three factor models. Moreover, it cannot reduce the model specification error either. Although jump factors could greatly improve the goodness of fit of asset pricing models, it has little impact on reducing the specification errors. BM and SIZE factors could efficiently improve the goodness of fit of asset pricing models and reduce the specification error, indicating that BM and HML are important for explaining the change of stock returns. However, not all portfolios passed the Hong and Lee (2005a, 2005b) test. There exist some unexplained parts in Chinese stock returns. Other risk factors or nonlinear return relationships should be considered to explain Chinese capital asset returns." @default.
• W2260301265 created "2016-06-24" @default.
• W2260301265 creator A5009814519 @default.
• W2260301265 creator A5077071027 @default.
• W2260301265 date "2013-11-08" @default.
• W2260301265 modified "2023-09-27" @default.
• W2260301265 title "New Test of Asset Pricing Models in China" @default.
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• W2260301265 hasPublicationYear "2013" @default.
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