Li, Zhibing; Liu, Laura Xiaolei; Liu, Xiaoyu; Wei, K.C. John - 2023
We replicate 469 anomaly variables similar to those studied by Hou, Xue, and Zhang (2020) using Chinese A-share data and a reliable testing procedure with mainboard breakpoints and value-weighted returns. We find that 83.37% of the anomaly variables do not generate significant high-minus-low...