An Empirical Study on the Stock Returns of Chinese Stock Market—Based on the Fama-French Model with Liquidity Factor

This dataset contains factor data constructed by the authors from raw financial data of CSMAR for the Chinese stock market. The file Size-INV.xlsx provides the size and investment factors (SMB and CMA); size_LIQ.xlsx provides the size and liquidity factors (SMB and LIQ); Size-OP.xls provides the size and profitability factors (SMB and RMW); and Factor.xls provides the final set of six factors (market, SMB, HML, RMW, CMA, and LIQ) used in the main analysis. All factor series are reported at the daily frequency and are sufficient to replicate the empirical results of the paper.