RT Journal Article SR Electronic T1 Practical Applications of Value, Size, Momentum, Dividend Yield, and Volatility in China’s A-Share Market JF Practical Applications FD Institutional Investor Journals SP 1 OP 4 DO 10.3905/pa.2015.2.4.106 VO 2 IS 4 A1 Christopher Cheung A1 George Hoguet A1 Sunny Ng A1 Barbara J. Mack YR 2015 UL https://pm-research.com/content/2/4/1.12.abstract AB Value, Size, Momentum, Dividend Yield, and Volatility in China’s A-Share Market Christopher Cheung George Hoguet Sunny Ng Since the mid-1960s, factor models have been used to evaluate the drivers of expected security returns. The methodologies behind the Fama-French three-factor model and the Carhart four-factor model, for example, have been shown to improve the explanatory power of single-factor CAPM models in both developed and emerging market environments.When applied to an emerging market context, the structure, investor characteristics and unique dynamics must also be taken into consideration. In this report, Christopher Cheung, George Hoguet and Sunny Ng urge caution in naively applying traditional factor models to China’s A-share market and discuss the appropriate way to apply factor analysis in the Chinese equity market.