Contrarian and momentum strategies in the China stock market: 1993–2000

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The five-factor asset pricing model tests for the Chinese stock market (2017, background): “In addition, there exist some particular factors to the Chinese stock market, such as the price momentum emphasized by Kang et al. (2002) and Naughton et al. (2008), the volume factor considered by Wang and Cheng (2004), and the liquidity factor mentioned by Narayan and Zheng (2010).”
On the Predictability of Chinese Stock Returns (2010, positive): “Conversely, future stock returns are abnormally high following stock repurchases (Ikenberry, Lakonishok, and Vermaelen, 1995; Lakonishok and Vermaelen, 1990). Bradshaw, Sloan and Richardson (2006) summarize firms’ external financing activities into two variables: external equity financing and debt f”