We construct size and value factors in China. The size factor excludes the smallest 30% of
firms, which are companies valued significantly as potential shells in reverse mergers that …

This paper sheds light on the similarities and differences with respect to the presence of
anomalies in the China A-share market and other markets. To this end, we examine the …

Purpose The study aims at investigating the impact of real earnings management (REM) on
the cross-sectional stock return after considering the moderating role of market effect, size …

We investigate the size and value factors in the cross‐section of returns for the Chinese
stock market. We find a significant size effect but no robust value effect. A zero‐cost small …

In this article, the authors apply well-studied factor strategies from the US equity anomalies
literature to Chinese A-shares, demonstrating which factors have worked and which have …

We introduce a novel two-factor model, incorporating market and liquidity factors, which
outperforms the CAPM and Fama–French factor models when applied to stock market …

This study examines if downside risk matters in asset pricing. Using a comprehensive
sample of 3658 companies listed on the Chinese stock market from 1998 to 2017, evidence …

This paper documents a highly downward-sloping security market line (SML) in China,
which is more puzzling than the typical “flattened” SML in the US, and does not reconcile …

Purpose The current study aims at examining the impact of upward and downward earnings
management on the cross-sections of stock return. The study also examines the moderating …

The purpose of the study is to investigate the pricing impact of positive and negative accrual-
based earnings management on stock returns. The study considers the moderating role of …