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.