Empirical research on the fama-french three-factor model and a sentiment-related four-factor model in the chinese blockchain industry


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

Publication DOI: https://doi.org/10.3390/su12125170
Divisions: College of Business and Social Sciences > Aston Business School
College of Business and Social Sciences > Aston Business School > Operations & Information Management
Additional Information: © 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). Funding Information: Funding: This work was partially supported by VC Research (VCR 0000042) and the National Natural Science Foundation of China (Grant No. 61872084).
Uncontrolled Keywords: Blockchain,Fama-french three-factor model,Financial technology (FinTech),Sentiment index,Geography, Planning and Development,Renewable Energy, Sustainability and the Environment,Environmental Science (miscellaneous),Energy Engineering and Power Technology,Management, Monitoring, Policy and Law
Publication ISSN: 2071-1050
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Related URLs: http://www.scop ... tnerID=8YFLogxK (Scopus URL)
https://www.mdp ... 1050/12/12/5170 (Publisher URL)
PURE Output Type: Article
Published Date: 2020-06-24
Authors: Ji, Ziyang
Chang, Victor (ORCID Profile 0000-0002-8012-5852)
Lan, Hao
Hsu, Ching Hsien Robert
Valverde, Raul



Version: Published Version

License: Creative Commons Attribution

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