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This paper presents an empirical analysis of the capital asset pricing modelusing trading data for the Chinese A-share market from 2000 to 2019. Firstly,the standard CAPM is tested using a Fama-MacBetch regression and although theresults successfully test the three core hypotheses, the resulting beta riskdoes not have a significant impact on returns. Secondly, the Fama-Frenchthree-factor model, which uses a combination of market, size and value factorsto price capital assets, is analysed, showing that it is able to capture mostof the variation in A-share market returns, with an adjusted R-squared greaterthan 0.88 for the 25 portfolios constructed. Finally, the paper takes intoaccount the "shell value contamination" problem caused by IPO regulation in theChinese stock market, and minimises its impact by excluding stocks in thelowest 30% of the market capitalisation, which allows some of the anomalousresults in the three-factor model to be effectively corrected. Although thispaper does not present a more innovative approach, it is unique in its dataselection and presents a detailed presentation of the data processing andregression analysis process, which 1) illustrates the applicability of capitalasset pricing models in the Chinese market; and 2) provides a set of opensource materials for the basic learning of capital asset pricing models.

An Empirical Study of Capital Asset Pricing Model based on Chinese A-share Trading Data