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Anomalies in the China A-share market

Maarten Jansen, Laurens Swinkels () and Weili Zhou

Pacific-Basin Finance Journal, 2021, vol. 68, issue C

Abstract: This paper sheds light on the similarities and differences with respect to the presence of anomalies in the China A-share market and other markets. To this end, we examine the existence of 32 anomalies in the China A-share market over the period 2000–2019. We find that value, risk, and trading anomalies carry over to China A-shares. Evidence for anomalies in the size, quality, and past return categories is substantially weaker, with the exception of a strong residual momentum and reversal effect. We document that most anomalies cannot be explained by industry composition, and are present among large, mid, and small capitalization stocks. We are the first to examine the existence of residual reversal, return seasonalities, and connected firm momentum for the China A-share market. We find strong out-of-sample evidence for the former two, but not the latter. Specific characteristics of the China A-share market, such as short-sale restrictions, the prevalence of state-owned enterprises, and the effect of stock market reforms, are examined in more detail. These features do not seem to be important drivers of our empirical findings.

Keywords: Alpha; Anomalies; Asset management; China; Investing; Stock market (search for similar items in EconPapers)
JEL-codes: G10 G11 G12 G15 G23 G40 (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1016/j.pacfin.2021.101607

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