An Empirical Study of A-share Stocks in the New Energy Sector --Based on the Fama-French Three-factor Model and the CAPM Model

Abstract

In recent years, the new energy industry has been developing rapidly, also, the new energy industry has drawn much consideration in corporate security choices. This paper selects 20 stocks with better performance in the new energy industry, constructs three explanatory variables based on the Fama-French three-factor model and the CAPM model, namely, the market factor, the size factor, and the book-to-market ratio factor, and carries out empirical analyses on the daily returns of the selected stock portfolios. It is concluded that all three explanatory variables have better explanatory power for the sample data, with the market factor having a stronger explanatory power than the rest of the factors, and the Fama-French three-factor model having a better explanatory power than the CAPM model.