China's Shenzhen financial returns: searching for the best forecasting model
Keywords:
Shenzhen, China, CAPM, Fama and French's Model, Reward Beta modelAbstract
In this paper we analyze the outcomes of some forecasting models of financial returns. Specifically, the aim of this research is to determine which model explains the outcomes of the returns of China’s Shenzhen Stock Exchange (SZSE). Thus, we perform tests under the portfolio formation procedure, following the methodology of Fama and French and the twostep regression, and the methodology of Bornholt. We conclude, from the analysis, that the best forecasting Model of returns for the SZSE in Guangdong, China for the period 2002-2009 turns to be the three-factor model of Fama and French.
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