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Article citations


Guermat, C. (2014) Yes, the CAPM Is Testable. Journal of Banking & Finance, 46, 31-42.

has been cited by the following article:

  • TITLE: Family-Owned Firms and Stock Returns: Evidence from the Chinese Stock Market

    AUTHORS: Caifen Zhang, Russell B. Gregory-Allen

    KEYWORDS: Family vs. Nonfamily Firms, Chinese Stock Market, CAPM, 3-Factor Model, Panel Regression

    JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.7, May 17, 2018

    ABSTRACT: We examine stock return performance of Chinese family-firms vs. Nonfamily-firms, and the impact on family-firm returns of firm size, having a founder as CEO, and levels of family ownership. We model returns with the Capital Asset Pricing Model (CAPM), the Fama-French 3-factor model, and a new 5-factor model we modified from Miralles-Marcelo, Miralles-Quirós, which adds factors for debt and illiquidity. In previous studies, though the prevalence is for family-firm outperformance, the results have been mixed. Using CAPM or the Fama-French 3-factor model, we find that family-firms outperform nonfamily-firms, but with the 5-factor model that outperformance vanishes, and this is robust to controlling for the GFC. For the founder CEO, firm size and family ownership considerations, again previous research has been mixed. With CAPM and Fama-French 3-factor models, we find that founder CEOs outperform nonfounder, large firms outperform small firms, and higher family ownership outperforms lower ownership. However, with the 5-factor model, only size remains as having significant impact. This study helps to reconcile conflicting results in previous research.