Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry

Ziyang Ji, Victor Chang, Hao Lan, Ching-Hsien Robert Hsu, Raul Valverde

Research output: Contribution to journalArticle

12 Downloads (Pure)

Abstract

As one of the most significant components of financial technology (FinTech), blockchain technology arouses the interests of numerous investors in China, and the number of companies engaged in this field rises rapidly. The emotion of investors has an eect on stock returns, which is a hot topic in behavioral finance. Blockchain is an essential part of FinTech, and with the fast
development of this technology, investors’ sentiment varies as well. The online information that directly reflects investors’ mood could be utilized for mining and quantifying to construct a sentiment index. For a better understanding of how well some factors adequately explain the return of stocks related to blockchain companies in the Chinese stock market, the Fama-French three-factor model (FFTFM) will be introduced in this paper. Furthermore, sentiment could be a new independent variable to enhance the explanatory power of the FFTFM. A comparison between those two models reveals that the sentiment factor could raise the explanatory power. The results also indicate that the
Chinses blockchain industry does not own the size eect and book-to-market eect.
Original languageEnglish
Article number5170
JournalSustainability
Volume12
Issue number12
DOIs
Publication statusPublished - 24 Jun 2020

Fingerprint Dive into the research topics of 'Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry'. Together they form a unique fingerprint.

  • Cite this