Replicating and Digesting Anomalies in the Chinese A-Share Market
References
- (2019) Best of the best: A comparison of factor models. J. Financial Quant. Anal. 54(4):1713–1758.Crossref, Google Scholar
- (2020) Lottery-related anomalies: The role of reference-dependent preferences. Management Sci. 66(1):473–501.Link, Google Scholar
- (2011) Maxing out: Stocks as lotteries and the cross-section of expected returns. J. Financial Econom. 99(2):427–446.Crossref, Google Scholar
- (2012) The stock market reaction to the 2005 split share structure reform in China. Pacific Basin Finance J. 20(4):543–560.Crossref, Google Scholar
- (1997) On persistence in mutual fund performance. J. Finance 52(1):57–82.Crossref, Google Scholar
- (2021) The real value of China’s stock market. J. Financial Econom. 139(3):679–696.Crossref, Google Scholar
- (1996) Momentum strategies. J. Finance 51(5):1681–1713.Crossref, Google Scholar
- Chen X, Lee CWJ, Li J (2008) Government assisted earnings management in China. J. Accounting & Public Policy 27(3):262–274.Google Scholar
- (2006) Earnings and price momentum. J. Financial Econom. 80(3):627–656.Crossref, Google Scholar
- (2020) Anomalies and false rejections. Rev. Financial Stud. 33(5):2134–2179.Crossref, Google Scholar
- (2022) Momentum, reversals, and investor clientele. Rev. Finance 26(2):217–255.Crossref, Google Scholar
- (2010) Individualism and momentum around the world. J. Finance 65(1):361–392.Crossref, Google Scholar
- (1995) Return behavior in emerging stock markets. World Bank Econom. Rev. 9(1):131–151.Crossref, Google Scholar
- (2011) Presidential address: Discount rates. J. Finance 66(4):1047–1108.Crossref, Google Scholar
- (2019a) Asset growth, profitability, and investment opportunities. Management Sci. 65(9):3988–4010.Link, Google Scholar
- (2019b) New evidence on conditional factor models. J. Financial Quant. Anal. 54(5):1975–2016.Crossref, Google Scholar
- (2008) Asset growth and the cross-section of stock returns. J. Finance 63(4):1609–1652.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2008) Dissecting anomalies. J. Finance 63(4):1653–1678.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- Fan JPH, Wong TJ (2002) Corporate ownership structure and the informativeness of accounting earnings in East Asia. J. Accounting Econom. 33(3):401–425.Google Scholar
- (1984) Earnings releases, anomalies, and the behavior of security returns. Accounting Rev. 59(4):574–603.Google Scholar
- (2002) Emerging stock markets return seasonalities: The January effect and the tax-loss selling hypothesis. Appl. Financial Econom. 12(4):291–299.Crossref, Google Scholar
- (2017) The characteristics that provide independent information about average US monthly stock returns. Rev. Financial Stud. 30(12):4389–4436.Crossref, Google Scholar
- (2005) Prospect theory, mental accounting, and momentum. J. Financial Econom. 78(2):311–339.Crossref, Google Scholar
- (2016) …and the cross-section of expected returns. Rev. Financial Stud. 29(1):5–68.Crossref, Google Scholar
- (2008) Seasonality in the cross-section of stock returns. J. Financial Econom. 87(2):418–445.Crossref, Google Scholar
- (2010) Seasonality in the cross section of stock returns: The international evidence. J. Financial Quant. Anal. 45(5):1133–1160.Crossref, Google Scholar
- (2015) Real and accrual-based earnings management in the pre-and post-IFRS periods: Evidence from China. J. Internat. Financial Management Accounting 26(3):294–335.Crossref, Google Scholar
- (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Crossref, Google Scholar
- (2019) Which factors? Rev. Finance 23(1):1–35.Crossref, Google Scholar
- (2021) An augmented q-factor model with expected growth. Rev. Finance 25(1):1–41.Crossref, Google Scholar
- (2018) Anomalies in Chinese A-shares. J. Portfolio Management 44(7):108–123.Crossref, Google Scholar
- (2005) Why most published research findings are false. PLoS Med. 2(8):e124.Crossref, Google Scholar
- (2018) Firm characteristics and Chinese stocks. J. Management Sci. Engrg. 3(4):259–283.Google Scholar
- (2015) Is disposition related to momentum in Chinese market? Management Finance 41(6):600–614.Google Scholar
- (2022) Machine learning in the Chinese stock market. J. Financial Econom. 145(2):64–82.Crossref, Google Scholar
- (2018) Seasonality in the cross section of stock returns: Advanced markets vs. emerging markets. J. Empirical Finance 49:263–281.Crossref, Google Scholar
- (2014) China’s secondary privatization: Perspectives from the split-share structure reform. J. Financial Econom. 113(3):500–518.Crossref, Google Scholar
- (2018) The history of the cross-section of stock returns. Rev. Financial Stud. 31(7):2606–2649.Crossref, Google Scholar
- (2019) Size and value in China. J. Financial Econom. 134(1):48–69.Google Scholar
- (2016) Does academic research destroy stock return predictability? J. Finance 71(1):5–32.Crossref, Google Scholar
- (2019) Replicating anomalies in China. https://www.semanticscholar.org/paper/Replicating-Anomalies-in-China-Qiao/d4de174bc41c1696c00b24643afb2650eaed8f0e.Google Scholar
- (2013) Market development and the asset growth effect: International evidence. J. Financial Quant. Anal. 48(5):1405–1432.Crossref, Google Scholar
- (2019) Asset growth and stock market returns: A time-series analysis. Rev. Finance 23(3):599–628.Crossref, Google Scholar

