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This paper examines the performance of three famous factor pricing models in markets of bull, bear, and consolidation in China. Empirical results show that these models explain the time-series variations in portfolio returns in bearish market reasonably well, but fail to explain the cross-sectional variations. Another two findings are revealed by instability tests. First, the three models are more unstable in trending (i.e., bearish and bullish) markets under time-series regression due to the higher stock price synchronicity. Second, greater instability causes the unitary parameter estimates less reliable and brings about difficulties in explaining the cross-sectional portfolio returns in trending markets.

Evaluating the Performance of Factor Pricing Models for Different Stock Market Trends: Evidence from China