Abstract
The Fama-French three-factor model is regressed in this study, which examines all A-share equities for 60 consecutive months between 2017 and 2022. The portfolio is built using the average investment in the Shanghai Exchange and Shenzhen Exchange. The data for the article was downloaded from the RESSET database and contains the the market capitalization, book-to-market values, and the portfolio's return less the risk-free rate of return, weighted by market capitalization for all A-share portfolios. According to the empirical findings, there was little overall change in the coefficients of the three factors-MKT, SMB, and HML. Each portfolio's market risk indicators point to a comparable degree of market risk. The stock market can be explained and predicted well using the three-factor model. Based on the regression results, the epidemic did not have a significant impact on the overall structure of the three-factor model. This indicates that the Chinese stock market is relatively stable in the short term and more resilient to unexpected events. It also shows that A-share market can be predicted by the three-factor model.
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