This paper extends the work of SONG （2008） and finds a significantly positive relation between hedge returns from accrual anomaly and market returns for Chinese A-share market. Since market returns in Chinese well-k...This paper extends the work of SONG （2008） and finds a significantly positive relation between hedge returns from accrual anomaly and market returns for Chinese A-share market. Since market returns in Chinese well-known ＂policy market＂ is more volatile than those in USA, the hedge risks in China are higher than those in USA. Additionally, higher transaction costs and one-direction trading system also prevent investors in Chinese A-share market from arbitraging on accrual anomaly.展开更多
文摘This paper extends the work of SONG （2008） and finds a significantly positive relation between hedge returns from accrual anomaly and market returns for Chinese A-share market. Since market returns in Chinese well-known ＂policy market＂ is more volatile than those in USA, the hedge risks in China are higher than those in USA. Additionally, higher transaction costs and one-direction trading system also prevent investors in Chinese A-share market from arbitraging on accrual anomaly.
