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Comparison of the Effectiveness of the Three-Factor Model and the Five-Factor Model Under the Esg Factor Premium

Author(s)

Yue Huang

Affiliation(s)

School of Finance, Renmin University of China, Beijing, China *Corresponding author

Abstract

This article verifies the significant effectiveness of ESG factors in the Chinese security market based on the Fama-French three-factor and five-factor model, proving that three-factor model performs better than five-factor model in China. To better understand ESG factor, this article divides enterprises into different industries and different company attributes, which will affect the effectiveness of ESG factors.

Keywords

ESG; Three-Factor Model; Five-Factor Model

References

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