Anomalies in the China A-share market

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