{"id":105710,"date":"2021-10-05T14:23:20","date_gmt":"2021-10-05T18:23:20","guid":{"rendered":"https:\/\/ibkrcampus.com\/?p=105710"},"modified":"2024-05-15T10:29:35","modified_gmt":"2024-05-15T14:29:35","slug":"asset-pricing-models-in-china","status":"publish","type":"post","link":"https:\/\/www.interactivebrokers.com\/campus\/ibkr-quant-news\/asset-pricing-models-in-china\/","title":{"rendered":"Asset Pricing Models in China"},"content":{"rendered":"\n<p class=\"wp-block-paragraph\">The&nbsp;<a href=\"https:\/\/quantpedia.com\/did-automated-trading-resurrect-the-capm\/\" target=\"_blank\" rel=\"noreferrer noopener\">CAPM model was a breakthrough for asset pricing<\/a>, but the times where the market factor was most widely used are long gone. Nowadays, if we exaggerate&nbsp;a bit,&nbsp;<a href=\"https:\/\/quantpedia.com\/a-comparison-of-global-factor-models\/\" target=\"_blank\" rel=\"noreferrer noopener\">we have as many factors as we want<\/a>. Therefore, it might not be straightforward which factor model should be used.&nbsp;<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">Hanauer&nbsp;et al. (2021) provide several insights into factor models. The authors postulate that the factor models should be examined in the international samples since this can be understood as a test for asset pricing models. The domestic Chinese A-shares stock market seems to be an excellent \u201cplayground\u201d for the factors models, given the size of the Chinese stock market, but mainly because of its uniqueness. The paper compares the models (and factors) based on various methods (performance, data-driven asset pricing framework, test assets, turnovers and even transaction costs). Apart from valuable insights into the several less-known factors, the key takeaway message could be that the \u201cUS classic\u201d Fama-French factor models perform poorly in China. The modified Fama-French six-factor model or q-factor is better, but overall, it seems that factor models designed for China, such as the model of Liu, Stambaugh and Yuan (2019), are the best.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-0d78aab7-8f1b-42ab-aa71-bd63b82048a3\"><strong>Authors:<\/strong>&nbsp;Matthias X. Hanauer, Maarten Jansen, Laurens Swinkels and Weili Zhou<\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-adbce5f1-ef5d-4403-828f-bc49d840b8d5\"><strong>Title:<\/strong>&nbsp;Factor models for Chinese A-shares<\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-9efe9f9d-6cdf-41eb-a2fd-1d840d42cbfa\"><strong>Link<\/strong>:&nbsp;<a href=\"https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3918833\">https:\/\/papers.ssrn.com\/sol3\/papers.cfm?abstract_id=3918833<\/a><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-226b187b-0721-48a0-ba4a-dc4aa08d84b5\"><strong>Abstract:<\/strong><\/p>\n\n\n\n<p class=\"wp-block-paragraph\" id=\"block-a79e8fd2-82f8-498e-94e2-628463a293b4\">We compare the pricing ability of popular asset pricing models for the cross-section of U.S. equities on a large, liquid, but mostly segmented equity market of Chinese A-shares. The q-factor model performs well among factor models developed for the U.S. equity market, but is outperformed by a modified Fama-French six-factor model and by a four-factor asset pricing model adapted to the Chinese A-shares market. A data-driven method to detect the preferred asset pricing model results in the same four factors, plus three additional ones. However, these three additional factors do not reduce the pricing errors to a set of test assets. When taking transaction costs into account, the ranking of asset pricing models changes. The preferred model from both the direct and data-driven model comparison methods now consists of a three-factor model comprising the market, size, and an earnings-based value factor.<\/p>\n\n\n\n<p class=\"wp-block-paragraph\">As always we present interesting tables:<\/p>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"975\" height=\"620\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/Picture-106-Asset-Pricing-Models-in-China-quantpedia.png\" alt=\"\" class=\"wp-image-105714 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/Picture-106-Asset-Pricing-Models-in-China-quantpedia.png 975w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/Picture-106-Asset-Pricing-Models-in-China-quantpedia-700x445.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/Picture-106-Asset-Pricing-Models-in-China-quantpedia-300x191.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/Picture-106-Asset-Pricing-Models-in-China-quantpedia-768x488.png 768w\" data-sizes=\"(max-width: 975px) 100vw, 975px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 975px; aspect-ratio: 975\/620;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"1024\" height=\"413\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor.png\" alt=\"\" class=\"wp-image-105716 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor.png 1024w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-700x282.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-300x121.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-768x310.png 768w\" data-sizes=\"(max-width: 1024px) 100vw, 1024px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1024px; aspect-ratio: 1024\/413;\" \/><\/figure>\n\n\n\n<figure class=\"wp-block-image size-full\"><img decoding=\"async\" width=\"1025\" height=\"634\" data-src=\"\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-2.png\" alt=\"\" class=\"wp-image-105717 lazyload\" data-srcset=\"https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-2.png 1025w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-2-700x433.png 700w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-2-300x186.png 300w, https:\/\/ibkrcampus.com\/campus\/wp-content\/uploads\/sites\/2\/2021\/10\/quantpedia-factor-2-768x475.png 768w\" data-sizes=\"(max-width: 1025px) 100vw, 1025px\" src=\"data:image\/svg+xml;base64,PHN2ZyB3aWR0aD0iMSIgaGVpZ2h0PSIxIiB4bWxucz0iaHR0cDovL3d3dy53My5vcmcvMjAwMC9zdmciPjwvc3ZnPg==\" style=\"--smush-placeholder-width: 1025px; aspect-ratio: 1025\/634;\" \/><\/figure>\n\n\n\n<p class=\"wp-block-paragraph\"><em>Originally posted on Quantpedia: <a href=\"https:\/\/quantpedia.com\/asset-pricing-models-in-china\/\">https:\/\/quantpedia.com\/asset-pricing-models-in-china\/<\/a>.<\/em><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Quantpedia reviews an academic paper on Factor models for Chinese A-shares<\/p>\n","protected":false},"author":186,"featured_media":27184,"comment_status":"closed","ping_status":"open","sticky":true,"template":"","format":"standard","meta":{"_acf_changed":false,"footnotes":"","jetpack_post_was_ever_published":false},"categories":[339,338,341,351,344],"tags":[6989,10457,9446,10458,7879],"contributors-categories":[13662],"class_list":["post-105710","post","type-post","status-publish","format-standard","has-post-thumbnail","category-data-science","category-ibkr-quant-news","category-quant-development","category-quant-europe","category-quant-regions","tag-asset-pricing","tag-asset-pricing-models","tag-capm-model","tag-chinese-a-shares-stock-market","tag-fama-french","contributors-categories-quantpedia"],"pp_statuses_selecting_workflow":false,"pp_workflow_action":"current","pp_status_selection":"publish","acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v26.9 (Yoast SEO v28.0) - 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