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The Journal of Portfolio Management

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Article

Anomalies in Chinese A-Shares

Jason Hsu, Vivek Viswanathan, Michael Wang and Phillip Wool
The Journal of Portfolio Management Summer 2018, 44 (7) 108-123; DOI: https://doi.org/10.3905/jpm.2018.44.7.108
Jason Hsu
is chairman and CIO at Rayliant Global Advisors in Hong Kong and adjunct professor of finance at Anderson School of Management at UCLA
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Vivek Viswanathan
is a managing director and head of research at Rayliant Global Advisors in Hong Kong
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Michael Wang
is a quantitative researcher at Rayliant Global Advisors in Hong Kong
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Phillip Wool
is senior vice president of equity research at Rayliant Global Advisors in Hong Kong
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Abstract

In this article, the authors apply well-studied factor strategies from the U.S. equity anomalies literature to Chinese A-shares, demonstrating which factors have worked and which have not over the last two decades since the opening of China’s stock markets. They find that although a number of traditional factors such as value and size appear to work well in China, other factors are less effective—including A-shares momentum, which works in the opposite direction. Their analysis reconciles conflicting results from the prior A-shares anomalies literature and explains differences in U.S. and Chinese factor investing experiences on the basis of unique features of China’s evolving investing landscape, including issues related to regulation, financial reporting standards, differences in market microstructure, and investor behavior. Their findings will be of interest to researchers of equity anomalies and those developing quantitative strategies for Chinese equities.

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The Journal of Portfolio Management: 44 (7)
The Journal of Portfolio Management
Vol. 44, Issue 7
Summer 2018
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Anomalies in Chinese A-Shares
Jason Hsu, Vivek Viswanathan, Michael Wang, Phillip Wool
The Journal of Portfolio Management Jul 2018, 44 (7) 108-123; DOI: 10.3905/jpm.2018.44.7.108

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Anomalies in Chinese A-Shares
Jason Hsu, Vivek Viswanathan, Michael Wang, Phillip Wool
The Journal of Portfolio Management Jul 2018, 44 (7) 108-123; DOI: 10.3905/jpm.2018.44.7.108
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  • Article
    • Abstract
    • CHALLENGES TO FACTOR RESEARCH IN CHINA
    • SOME BACKGROUND ON CHINESE A-SHARES
    • FACTOR INVESTING IN A-SHARES
    • INDIVIDUAL FACTOR STRATEGIES
    • CONCLUSIONS
    • Footnotes
    • REFERENCES
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  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • Editor’s Introduction for 2021 Special Issue on Factor Investing
  • Perspectives: The Interplay between Regulation, Competition, and Technology and the Transformation of Our Equity Markets
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