The Fama- French Three Factor Model in Current Stock Market

Shang Ma

doi:10.54097/jz91w194

Authors

Shang Ma

DOI:

https://doi.org/10.54097/jz91w194

Keywords:

Fama-french three factor model, stock market, the regression model, market dynamics, investment strategies.

Abstract

The Fama-french three factor model is the classical statistical model to evaluate how the each factors or variabels in stock market influence the returns of stock, which allows the investors to understand market dynamics and adjust their investment strategies. In this paper, firstly, the data is been collected from the CSMAR database which is about the Fama- french three factor model is tested by the regression model and get each coefficient of different variables and value of p that reveals correlation between returns of current stock and each variables in Fama- french three factor model. Then research compares the confidence interval in 95% and 90% and finishes hypothesis testing. Results of this research is that the Fama-french three factor model is also valid in the current stock market and the three factor is highly correlated with returns of current stocks, supporting its robustness across varying market conditions and temporal fluctuations.

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References

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