Replicating Profitability Anomalies in China
- Title
- Replicating Profitability Anomalies in China
- Other Titles
- 중국 수익성 이상의 복제
- Author
- 설습정
- Alternative Author(s)
- 설습정
- Advisor(s)
- 강형구
- Issue Date
- 2021. 2
- Publisher
- 한양대학교
- Degree
- Master
- Abstract
- This paper replicates 43 major profitability market anomalies proposed in previous academic papers to verify whether these anomalies are significant in China’s A-share stock market. By using single portfolio analysis in 43 profitability anomalies and value-weighted returns of all A-shares from 2000 to 2019, we find that 16 anomalies are significant at the 5% confidence level (the absolute t value ≥ 1.96). When the absolute t value is adjusted to 2.78, only 9 out of 43 anomalies are significant. In addition, in order to avoid overweighting on microcap stocks, the 30% companies with smallest market capitalization are excluded, and an equally-weighted analysis is also used to verify the significance. The results show that only parts of the profitability anomalies in China’s market are significant.
- URI
- https://repository.hanyang.ac.kr/handle/20.500.11754/159891http://hanyang.dcollection.net/common/orgView/200000485697
- Appears in Collections:
- GRADUATE SCHOOL[S](대학원) > BUSINESS ADMINISTRATION(경영학과) > Theses (Master)
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