| 简介： | Abstract：The historical crashes of the Chinese stock market in 2007-2008 and 2015-2016 provide a good proving ground for testing the performance of the Fama-French models in different market trends. By employing daily returns, we find that the Fama-French models explain equity returns quite well in our sample. More importantly, this over-performance seems to appear when the market is in a crash than in a soaring or fluctuating market. This finding is confirmed by the results of time-series regressions, GRS F-tests, Fama-MacBeth regressions, and other metrics. However, Hansen’s (1992) instability tests suggest that the Fama-French model is hardly constant over time and tends to present a higher level of instability in the crash than in the recovery of the market. We also provide explanations for these seemingly conflicting findings. |