Research on the value anomalies of China's stock market, based on investment expectations and market structural imbalance

Abstract

This thesis investigates the value anomalies that exist in the Chinese stock market and examines the impact of investors' expected returns and market structure on the value anomalies. This paper refers to the paper of Kewei Hou, Fang Qiao, and Xiaoyan Zhang* (2019), which constructs 24 value anomalies, updates the trading data and financial statement data of Chinese A-shares to 30 September 2023, and finds that there exists significant value anomalies in the Chinese stock A-share market, and uses Fama-Macbeth regression to test that there is a value anomaly in China's A-share market. And link the value anomaly with investment expectations and market structure for empirical analysis, and found that investor expectations and market structure imbalance have a significant impact on the value anomaly, the value anomaly affects investor's emotions, thus affecting the expected return of investors on the stock market, there is a serious imbalance of market structure in China's stock market, especially the imbalance of the investor structure is more obvious, China's stock market the investor structure is characterised by the presence of many retail investors and few institutional investors. This paper takes the investor sentiment indicator as an indicator of investment expectation and the institutional investor shareholding indicator as an indicator of market structure to study the impact between investment expectation and market structure and the value anomaly of China's A-share market. Keywords: China A-share market, value anomaly, investment expectation, market structure imbalance, investor sentiment, institutional investors, Fama-Macbeth regression