Factor models for Chinese A-shares
比较了常用资产定价模型在中国A股市场的表现，发现针对美国市场开发的q因子模型不如改进的六因子模型和专为中国A股设计的四因子模型，考虑交易成本后三因子模型最优。
We compare the performance of commonly employed asset pricing models on a large, liquid, but mostly segmented Chinese A-shares equity market. When restricting ourselves to factor models developed for the U.S. equity market, the q-factor model performs well. However, it is outperformed by a modified Fama-French six-factor model and by a four-factor asset pricing model tailored to the Chinese A-shares market. A data-driven method results in a seven-factor model, however the ranking of asset pricing models changes when we incorporate transaction costs. Both direct and data-driven model comparison methods now lead to a three-factor model comprising a market, size, and earnings-based value factor.