Reversal Anomaly in a Retail-Dominated Market and a Forward Bias Audit of Public Financial Data: Empirical Evidence and Methodological Contributions from the Beijing Stock Exchange
“This paper conducts a systematic empirical examination of the cross-sectional reversal anomaly on the Beijing Stock Exchange (BSE) — a small-cap exchange newly established in 2021, where retail investors account for more than 80% of trading volume and the daily price limit is relaxed to 30%.”
AssetEquities
StrategyShort-term reversalmomentum
TechniqueLinear factor model
GeographyChinaIndia
Also stated: Daily, Alpha, t-statistic, Price and volume, Fundamentals, out-of-sample test, multiple testing
Missing from abstract: benchmark, costs, universe
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The paper's neighbourhoodShort-term reversal by year
FamilyShort-term reversal17Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 985
AssetEquities12
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