1. First, financial reporting frequency has changed from semi-annual to quarterly since 2002. The HXZ factors are based on firm profitability in the most recent financial reports. We use semi-annual reports for years before 2002 and quarterly reports for 2002 onwards. We repeat the analysis for the period from;Two Other Time Periods We repeat our analysis for two other time periods because of the significant market-wide changes that have occurred in China in the past,1999
2. We conduct asset pricing tests and use multiple performance metrics to identify an empirical factor model that builds on these factors and explains the variation in Chinese stock returns. Our main findings are as follows. First, in contrast to what Fama and French (2015) and Hou, Xue, and Zhang (2015) discover in the US stock market, their investment factors do not earn a significant return in the Chinese stock market. Second, the HXZ four-factor model can explain four of the five FF factors, the exception being the value factor. Third, three of the four HXZ factors, namely the size, profitability, and investment factors;Xue Zhang;IV. Summary and Conclusion We analyse Chinese stock returns over three different time periods,1999