{"title":"Anomaly Identification and Premium Mining: Evidence from Chinese Urban Construction Investment Bonds","authors":"Ping Li, Jiahong Li, Dong Wang","doi":"10.1007/s10690-023-09437-4","DOIUrl":null,"url":null,"abstract":"<div><p>This paper identifies the presence of anomalies in Chinese urban construction investment bonds (UCIBs) market using variable ranking portfolio analysis and finds that liquidity anomalies, downside risk anomalies, and historical return anomalies significantly exist. By conducting Fama–MacBeth regressions on the cross-sectional returns of UCIBs and anomalies, we find that only the 6-month momentum in the historical return anomaly can generate statistically significant risk premium which cannot be explained by long-established bond pricing factors, and thus it’s an anomaly for UCIBs. This paper also finds that portfolios constructed based on significant anomalies in the UCIBs market can generate more profits than other models through the out-of-sample cross-sectional return forecasting.</p></div>","PeriodicalId":54095,"journal":{"name":"Asia-Pacific Financial Markets","volume":"31 4","pages":"945 - 974"},"PeriodicalIF":2.5000,"publicationDate":"2023-11-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Asia-Pacific Financial Markets","FirstCategoryId":"1085","ListUrlMain":"https://link.springer.com/article/10.1007/s10690-023-09437-4","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 0
Abstract
This paper identifies the presence of anomalies in Chinese urban construction investment bonds (UCIBs) market using variable ranking portfolio analysis and finds that liquidity anomalies, downside risk anomalies, and historical return anomalies significantly exist. By conducting Fama–MacBeth regressions on the cross-sectional returns of UCIBs and anomalies, we find that only the 6-month momentum in the historical return anomaly can generate statistically significant risk premium which cannot be explained by long-established bond pricing factors, and thus it’s an anomaly for UCIBs. This paper also finds that portfolios constructed based on significant anomalies in the UCIBs market can generate more profits than other models through the out-of-sample cross-sectional return forecasting.
期刊介绍：
The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering.
Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome.
Officially cited as: Asia-Pac Financ Markets
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