 Anomalies in the China A-share marketMaarten 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) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21001141 DOI: 10.1016/j.pacfin.2021.101607 Access Statistics for this article Pacific-Basin Finance Journal is currently edited by K. Chan and S. Ghon Rhee More articles in Pacific-Basin Finance Journal from Elsevier |
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