  This paper presents an empirical analysis of the capital asset pricing model
using trading data for the Chinese A-share market from 2000 to 2019. Firstly,
the standard CAPM is tested using a Fama-MacBetch regression and although the
results successfully test the three core hypotheses, the resulting beta risk
does not have a significant impact on returns. Secondly, the Fama-French
three-factor model, which uses a combination of market, size and value factors
to price capital assets, is analysed, showing that it is able to capture most
of the variation in A-share market returns, with an adjusted R-squared greater
than 0.88 for the 25 portfolios constructed. Finally, the paper takes into
account the "shell value contamination" problem caused by IPO regulation in the
Chinese stock market, and minimises its impact by excluding stocks in the
lowest 30% of the market capitalisation, which allows some of the anomalous
results in the three-factor model to be effectively corrected. Although this
paper does not present a more innovative approach, it is unique in its data
selection and presents a detailed presentation of the data processing and
regression analysis process, which 1) illustrates the applicability of capital
asset pricing models in the Chinese market; and 2) provides a set of open
source materials for the basic learning of capital asset pricing models.
