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

Title:

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

Ziyang, Ji, Chang, Victor, Hao, Lan, Ching-Hsien, Robert Hsu and Valverde, Raul (2020) Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry. Sustainability, 12 (12). ISSN 2071-1050

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Official URL: https://doi.org/10.3390/su12125170

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 effect 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 Chinese blockchain industry does not own the size effect and book-to-market effect.

Divisions:Concordia University > John Molson School of Business > Supply Chain and Business Technology Management
Item Type:Article
Refereed:Yes
Authors:Ziyang, Ji and Chang, Victor and Hao, Lan and Ching-Hsien, Robert Hsu and Valverde, Raul
Journal or Publication:Sustainability
Date:24 June 2020
Funders:
  • VC Research
  • National Natural Science Foundation of China
Digital Object Identifier (DOI):10.3390/su12125170
Keywords:financial technology (FinTech); blockchain; Fama-French three-factor model; sentiment index
ID Code:987837
Deposited By: RAUL VALVERDE
Deposited On:10 Feb 2021 19:32
Last Modified:10 Feb 2021 19:37
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