Database

Mingshi Database

Performance for the three factors on A-share market

Market, Size and Value are three important factors in determining the return on A-shares in China. Based on the "Three Factor Model Construction Methodology" proposed in the article "Size and Value in China" by Prof. Yuan Yu, Prof. Robert F. Stambaugh and Prof. Liu Jianan, the historical performance for the three factors is shown in the table below.

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Data Download

China Three Factors, CH-3, monthly, updated to 2024 Oct (paper, data appendix, data)

China Three Factors, CH-3, daily, updated to 2024 Oct (data)

China Four Factors, CH-4, monthly, updated to 2024 Oct (data)

China Four Factors, CH-4, daily, updated to 2024 Oct (data)

China Six Size Value Portfolios, updated to 2024 Oct (data)