Data: Anomalies in the China A-share market

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.

This data set contains the monthly return data of the 32 anomalies underlying summary Table 4.

本文深入探讨了中国A股市场及其他市场在异常现象方面的异同。为此，我们考察了2000年至2019年间中国A股市场存在的32种异常现象。研究发现，价值、风险和交易异常在中国A股市场得以延续。在规模、质量及历史回报类别中，异常现象的证据相对较弱，唯有强劲的残余动量及反转效应除外。我们记录了大多数异常现象无法由行业构成解释，且存在于大盘、中盘和小盘股中。我们首次对中国A股市场残余反转、回报季节性以及关联企业动量的存在进行了考察。我们发现前两者有强有力的外部样本证据，而后者则不然。中国A股市场的特定特征，如卖空限制、国有企业普遍存在以及股市改革的影响，被更细致地研究。这些特征似乎并非我们实证发现的驱动力。本数据集包含摘要表4中32种异常现象的月度回报数据。

搜集汇总

背景与挑战

背景概述

该数据集基于2000-2019年中国A股市场的研究，包含32种异常现象的月度回报数据，用于分析价值、风险、交易等类别的异常表现。研究发现价值、风险和交易类异常在中国A股市场较为显著，而规模、质量和过去回报类异常较弱，但残差动量和反转效应强烈。数据集首次探讨了残差反转、回报季节性和关联公司动量，并考虑了市场特定特征如卖空限制和国有企业的影响。