Huang, Jian; Liu, Huazhang - In: Journal of risk and financial management : JRFM 12 (2019) 2/91, pp. 1-30
To search significant variables which can illustrate the abnormal return of stock price, this research is generally based on the Fama-French five-factor model to develop a multi-factor model. We evaluated the existing factors in the empirical study of Chinese stock market and examined for new...