Abstract
Asset pricing has always been a hot issue in the financial industry. The cutting-edge research achievements of Capital Asset Pricing Models are the Fama-French three-factor model and the Fama-French five-factor model. Although many scholars have studied the performance of Fama-French three-factor model and five-factor model in China's A-share market, there is still controversy about the explanatory power of these two model in the A-share market. This thesis discusses the applicability of Fama-French three-factor and five-factor models adopted in various industries. This thesis chooses A shares in terms of performances, with 14 years commencing from August 2007 to August 2021 as the samples, and utilizes the data of monthly transactions of listed companies in the market for calculation. The thesis has divided the samples into 18 industries. The Fama-French three-factor and five-factor models are used for regression to verify the model's applicability in China's stock market. Through the empirical test, this thesis found that the Fama-French three-factor and five-factor models have strong explanatory powers regarding the excess returns of 15 industries. The research obtained in the thesis has enriched and broadened the study of the Asset Pricing Theory in China, providing theoretical guidance for various investment entities in acts conducted in the market.
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