The Level, Slope, and Curve Factor Model for the Chinese Stocks

This paper studies the Level, Slope, and Curve factor model in the Chinese stock market. Empirical asset pricing tests reveal that the slope factor in the model represents either a reversal or a momentum effect for the Chinese stocks, and further tests on individual stocks demonstrate that the Level, Slope, and Curve model using effective predictor variables outperform other common factor models, thus a filter in virtue of multiple hypothesis testing is designed to identify the effective predictor variables