Abstract Employing monthly data of return rates of listed companies in Chinese A-share market between January, 2007 and December, 2016, this paper studies the influence of value and growth on stock returns based on Fama-French Multi-factor Model. Results indicate that there is still speculation in China’s capital market, but value investments based on profitability and growth are still valid. Therefore, China’s capital market should guide high quality companies IPO and improve the quality of listed companies. This paper supplements China’s asset pricing theories and its empirical analysis and also provides reference to the further healthy development and value investment practice of China’s capital market.
AN Wei-Meng,ZHANG Di-Xin. An Empirical Study on Multi-Factor Pricing Model in Chinese Capital Market Based on Value Investment. Economic Survey, 2018, 35(4): 0136.
2018, Vol. 35 
