Analysis of Three and Four Factors Capital Asset Pricing Models and Their Applications to China Stock Funds

• Main Authors: Ruei-BinHuang, 黃瑞斌
• Other Authors: Jhan-Ping Chen
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/33711237749088678261

碩士 === 國立成功大學 === 財務金融研究所 === 98 === In recent years, China has demonstrated high economic growth and in the meantime, capital market in China has grown up in rapid pace. Due to this reason, one wishes to know whether he could earn positive return in mutual funds issued in China. 　　Previous research findings revealed that the stock size of a stock can affect the stock’s return. In this research, we wish to know whether the fund size of a mutual fund can also have a similar impact on its return. 　　We used CAPM, three-factor, four-factor and modified multi-factor models to evaluate the effects of fund size, book to market ratio, momentum factor and market factor. By empirical study over the period from January 2003 to December 2009, it has been found that mutual funds in China did have abnormal (access) returns regardless of their fund sizes. It was also found that the returns between mutual funds have no significant difference no matter what their fund sizes were.