Extension on F-F 3 Factors Asset Pricing Model and Related Empirical Researches

According to the characteristics of Chinese securities market, this paper adjusted the standard Fama-French Three factors asset pricing model, by introduced price/earning rate of accounting index and trading volume rate of technology index. The empirical outcome indicates that the standard F-F model can be used to basically interpret the correspond portfolios´ weekly return of Csindex100 sample shares. The model which are conducted into trading volume rate cannot interpret portfolios´ return in a better than that of the standard model. But with both trading volume rate and price/earning rate conducted into the model, better weekly return could be achieved efficiently, which could be regarded as a right model conducted in Chinese stock market.