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| Stock Market Anomalies and the Price Efficiency of AShares |
| Xu Bu |
| School of Economics and Management， Beijing University of Chemical Technology， Beijing 100029 |
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Abstract Based on the Ashare sample from January 1997 to June 2015， this study employs portfolio sorts and FamaFrench fivefactor model to comprehensively test the performances of 21 common stock market anomalies， and investigates the relation between market efficiency and the performances of various types of anomalies. It finds that： (1) Six anomalies yield significant real spreads and the spreads in four of them cannot be absorbed by five factors； (2) The spreads of anomalies from trading data disappear after longer holding periods， while the spread of a financialdata anomaly increases steady and remains significant as time goes on； (3) Although some anomalies perform poorly in the short term， they yield significant but limited real spreads in the long term. The results provide empirical evidence that tradingdata anomalies appear as results of market inefficiency. It also implies that the Ashare market is efficient to some extent in the long term， but the shortterm price efficiency needs to be improved.
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Received: 23 January 2018
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2018, Vol. 57 
