Empirical Analysis on the Applicability of Two Capital Asset Pricing Models to New Energy Vehicle Stocks

Abstract

For the policies of many countries aimed at controlling carbon dioxide emissions, the new energy vehicle industry has developed rapidly. However, after the impact of COVID-19, many industries have been cleared out of the national list and the new energy vehicle industry has been left behind, and a large number of national funds have been used for new energy vehicles. As a new and special industry, the stock of new energy vehicles may differ the overall a-share market shares from the applicability of asset pricing model. This paper conducts an empirical analysis on the applicability of CAPM model and Fama-French three-factor model in the stock market of new energy vehicle industry. The study found that the three-factor model's applicability is better than the CAPM model, and scale factor and book-to-value ratio factor have a certain reference significance, while market factor still has good reference significance, which amount of variation is greater than the rate of yield. In addition, in China's new energy vehicle stocks, there is a small-scale effect, and the medium and high book value ratio of stocks show a certain book value ratio benefit.