Fundamental anomalies and the size puzzle in China: A data mining approach

Danting Chang

Finance Research Letters, 2021, vol. 42, issue C

Abstract: The paper documents the profitable fundamental-based anomalies in China's A-share market and proposes the fundamental-related size puzzle which is converse to prior literature on the US stock market: these anomalies are systematically more pronounced among big stocks than among small stocks. Using the bootstrap approach to control for data mining, the fundamental-related size puzzle strengthens. Further evidence points to the widely perceived view about China's A-share market that for small stocks subject to severe shell-value fluctuations due to IPO constraints, fundamental information is less relevant and hardly incorporated into prices even upon earnings arrival.

Keywords: Anomaly; Fundamental analysis; Data mining; Bootstrap; Earnings announcement; Mispricing (search for similar items in EconPapers)
JEL-codes: G12 G14 G17 G40 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317219

DOI: 10.1016/j.frl.2020.101907

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