---
title: Factor Models for Chinese A-Shares: Performance Comparison
url: https://www.ml-quant.com/papers/ssrn/4605402/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4605402
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4605402
featured: 2023-10-18
citations: unknown
topic: Asset Pricing & Factors
---


# Factor Models for Chinese A-Shares: Performance Comparison

Performance Comparison: The study evaluates asset pricing models in the Chinese Ashares market, concluding that a modified FamaFrench sixfactor model and a fourfactor model perform best, especially when transaction costs are factored in.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4605402
- Identifier: SSRN 4605402
- Released: 2021-09-10
- First featured: Quant Letter No. 22 (2023-10-18): https://www.ml-quant.com/issues/2023-10-18/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Asset Pricing & Factors

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