A Study Of Pricing Anomalies In China's Stock Market

Different from the traditional asset pricing theory and people's intuition that the expected return of stock is positively correlated with risk,the low-risk anomaly represented by beta anomaly widely exists in the market,and it is found that the expected return of stock is negatively correlated with risk.Based on the relevant data of China's stock market from January 2000 to December 2018 as the research sample,this paper systematically explores the profit performance of a series of anomalies that have significant economic and statistical significance based on the research findings of China's stock market from the perspective of beta adjustment,it is found that most of the anomalies factors contain the effect of beta anomaly,which has a significant impact on the profitability of the anomalies.Specifically,for the anomalies factors with negative beta value in the long-short portfolio,after eliminating the effect of the beta anomaly as much as possible,these anomalies have different degrees of decline in the alpha return and information ratio under the capital asset pricing model,on the contrary,for the anomalies factors with positive betavalue in the long-short portfolio,after eliminating the effect of beta anomaly as much as possible,these anomalies have different degrees of rise in the alpha return and information ratio under the CAPM model,that is,beta anomaly will affect the profitability of the anomalies,and when using different methods to estimate the beta coefficient of individual stocks,all the empirical results are robust.Further more,this paper uses the return volatility to replace the beta coefficient to measure the risk of individual stocks,and tests it according to the same methods and steps,it also finds that most of the anomalies contain the role of low-risk anomaly,among them,for the return volatility of long portfolio is less than short portfolio,and after eliminating the effects of low-risk anomalies as much as possible,the profitability of these anomalies has declined to different degrees,on the contrary,for the long portfolio with higher volatility than the short portfolio,the profitability of these anomalies has increased to varying degrees after eliminating the effects of low-risk anomalies as much as possible.In a word,many outstanding anomalies in China's stock market also contain low-risk anomalies,therefore,we need tobe more rational when making investment decisions,and at the same time,we must consider the effects of low-risk anomalies in the research of pricing anomalies.