Empirical Study on the Listed Banks of China: Based on the CAPM Model

This study research on the risk and profit of Chinese listed banks. Using the observations of listed banks of Shanghai stock exchange and Shenzhen stock exchange from 2015 to 2017, the study distinguishes the samples into four different kind of groups which based on the Fama-French model and finds that CAPM model have significant explanatory power for all of the four groups. The results demonstrate that the βvalue of the listed banks is associated with the equity return of the market. It also certifies that the banks with different scale of asset and market to book ratio have different results on risk and profit. These results indicate that CAPM model become more suitable to explain Chinese capital market, but Chinese capital market is still not an strong efficiency market.