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Fundamental anomalies and the size puzzle in China: A data mining approach

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  • Chang, Danting

Abstract

The paper documents the profitable fundamental-based anomalies in China's A-share market and proposes the fundamental-related size puzzle which is converse to prior literature on the US stock market: these anomalies are systematically more pronounced among big stocks than among small stocks. Using the bootstrap approach to control for data mining, the fundamental-related size puzzle strengthens. Further evidence points to the widely perceived view about China's A-share market that for small stocks subject to severe shell-value fluctuations due to IPO constraints, fundamental information is less relevant and hardly incorporated into prices even upon earnings arrival.

Suggested Citation

  • Chang, Danting, 2021. "Fundamental anomalies and the size puzzle in China: A data mining approach," Finance Research Letters, Elsevier, vol. 42(C).
    • Handle: RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317219
    DOI: 10.1016/j.frl.2020.101907
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    Cited by:

    1. Chang, Danting & Li, Feng, 2023. "Uncovering the information content in abnormal institutional visits," Finance Research Letters, Elsevier, vol. 55(PB).

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    More about this item

    Keywords

    Anomaly; Fundamental analysis; Data mining; Bootstrap; Earnings announcement; Mispricing;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • G40 - Financial Economics - - Behavioral Finance - - - General

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