Time-varying return predictability in the Chinese stock market

China's stock market is the largest emerging market all over the world. It is widely accepted that the Chinese stock market is far from efficiency and it possesses possible linear and nonlinear dependence. We study the predictability of returns in the Chinese stock market by employing the wild bootstrap automatic variance ratio test and the generalized spectral test. We find that the return predictability vary over time and significant return predictability is observed around market turmoils. Our findings are consistent with the Adaptive Markets Hypothesis and have practical implications for market participants.Comment: 11 Latex pages including 2 figures and 1 tabl

Profitability of contrarian strategies in the Chinese stock market

This paper reexamines the profitability of loser, winner and contrarian portfolios in the Chinese stock market using monthly data of all stocks traded on the Shanghai Stock Exchange and Shenzhen Stock Exchange covering the period from January 1997 to December 2012. We find evidence of short-term and long-term contrarian profitability in the whole sample period when the estimation and holding horizons are 1 month or longer than 12 months and the annualized returns of contrarian portfolios increases with the estimation and holding horizons. We perform subperiod analysis and find that the long-term contrarian effect is significant in both bullish and bearish states while the short-term contrarian effect disappears in bullish states. We compare the performance of contrarian portfolios based on different grouping manners in the estimation period and unveil that decile grouping outperforms quintile grouping and tertile grouping, which is more evident and robust in the long run. Generally, loser portfolios and winner portfolios have positive returns and loser portfolios perform much better than winner portfolios. Both loser and winner portfolios in bullish states perform better than those in the whole sample period. In contrast, loser and winner portfolios have smaller returns in bearish states in which loser portfolio returns are significant only in the long term and winner portfolio returns become insignificant. These results are robust to the one-month skipping between the estimation and holding periods and for the two stock exchanges. Our findings show that the Chinese stock market is not efficient in the weak form. These findings also have obvious practical implications for financial practitioners.Comment: 24 pages (including 4 figures and 9 tables) + 5 supplementary figures + 10 supplementary table

Experimental tests on the lifetime Asymmetry

The experimental test problem of the left-right polarization-dependent lifetime asymmetry is discussed. It shows that the existing experiments cannot demonstrate the lifetime asymmetry to be right or wrong after analyzing the measurements on the neutron, the muon and the tau lifetime, as well as the $g-2$ experiment. However, It is pointed out emphatically that the SLD and the E158 experiments, the measurements of the left-right integrated cross section asymmetry in $Z$ boson production by $e^+e^-$ collisions and by electron-electron M{\o}ller scattering, can indirectly demonstrate the lifetime asymmetry. In order to directly demonstrate the lifetime asymmetry, we propose some possible experiments on the decays of polarized muons. The precise measurement of the lifetime asymmetry could have important significance for building a muon collider, also in cosmology and astrophysics. It would provide a sensitive test of the standard model in particle physics and allow for exploration of the possible $V+A$ interactions.Comment: 11 pages, 1 figur

Left-Right Asymmetry of Weak Interaction Mass of Polarized Fermions in Flight

The left-right polarization-dependent asymmetry of the weak interaction mass is investigated. Based on the Standard Model, the calculation shows that the weak interaction mass of left-handed polarized fermions is always greater than that of right-handed polarized fermions in flight with the same velocity in any inertial frame. The asymmetry of the weak interaction mass might be very important to the investigation of neutrino mass and would have an important significance for understanding the parity nonconservation in weak interactions.Comment: 8 pages, 2 figures, corrected calculatio