Anomaly Testing in China——Based on Intangibles

Abstract

This paper constructs 25 intangible anomalies based on stock trading data and financial statement data in China’s A-share stock market. With single portfolio analysis in all A-share sample and value-weighted returns, 6 of the 25 anomalies (24%) are significant at the 5% level (the absolute t-value ≥ 1.96) from 2000 to 2019. With the absolute t-cutoff of 2.78, the number of significant anomalies reduces to 5.