Abstract
A stock market anomaly refers to the occurrence of excess returns in stocks that cannot be fully explained by traditional asset pricing models or the efficient market hypothesis. Studying these anomalies allows scholars to gain deeper insights into the stock market and provides investors with opportunities to capitalize on these irregularities for higher returns. In this paper, the size and value factors in the Chinese stock market are empirically tested for the period from January 2002 to December 2021, leading to several conclusions. First, the CH-3 model is found to be more suitable for the Chinese market compared to the FF-3 model. Additionally, the interpretation of anomalies using CH-3 differs from prior research, particularly regarding the CH-4 model, which incorporates a share turnover factor. These differences may stem from potential data mining effects.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
