A Comparative Analysis of the Fama-French Five-Factor Model -- Based on the Data of China’s SME Board

The five-factor model by Fama-French was obtained adding the profitability factor (RWM) and investment (CMA) to three-factor Fama-French. It is still first paradigm for asset pricing research imitate compare. In case of Chinese stock market, there no consensus on whether explains anomalies better than other models, a lack comparative studies models specific markets such as SME. Based empirical analysis trading data financial SME baord, this paper compares explanatory abilities with four mainstream factors market anomalies, provides new feasible development ideas markets. findings are valuable construction value strategies small mid-cap stocks, study effectiveness market-specific prediction trends in ChiNext NEEQ.