Yu, Jiasheng; Renhe, Liu; Chen, Yingnan; Wang, Guilong - 2022
A precondition for studying the determinants of A-share return is to identify A-share anomalies. We follow Hou et al. (2020)’s replication procedure to construct 208 Chinese A-share anomalies based on 58 characteristics, and examine them in 8 predictability test approaches. Our main...