The analysis of broad samples of equal-weighted and value-weighted returns of the Chinese security markets documents that abnormally high rates of return on small-capitalization stocks are to be observed during the month of March on both Shanghai and Shenzhen A-share markets. Different to the international experience of the January effect, the March effect can be seen as the turn-of-the-year effect in the Chinese security market as the national economic background and cultural background delay the turn-of-the-year from February to March.Keywords: Financial Anomalies, Chinese A-share, March Effect, January Effect IntroductionFinancial anomalies such as day-of-the-week effect, turn-of-the-year effect and size effect etc. have been well documented. Evidence of such seasonality is available for the mature stock markets in the developed countries. However, research concerning such anomalies in emerging stock markets is scarce. The stock market in China poses an interesting study, as the market is less developed and it is relatively new. Moreover, the Chinese stock market is different from the market of Europe or the U.S. It has many unique features such as the institutional features, the culture's background and investment behaviours. This study will focus on the financial anomalies of the turn-of-the-year effect in the Chinese market.

Article HistoryReceived: 11 July 2017 Revised: 5 December 2017 Accepted: 11 December 2017 Published: 18 December 2017 KeywordsAccounting information comparability Creditor capital cost Accounting information comparability model. JEL Classification: M40, H63The annual samples of 9370 companies from China's Shanghai and Shenzhen A-share market which during the period 2004 to 2013 were used as the object of study for this paper. According to De Franco et al. (2011) comparability models were used to measure accounting information comparability for companies. The accounting information comparability was proved and impacted on the relationship between the quality of accounting information and the cost of creditor's capital. From the findings of the research, under the controlled of other factors, the comparability of accounting information had a significant negative effects on the debt capital cost.

Using the Chinese A-share listed firms over the period from 2005 to 2012, this paper examines the relationships between earnings management, annual report patch and accounting comparability. The empirical results indicate that Chinese listed companies tend to release their annual report patch after implementing accrual earnings management, but the Chinese listed companies are not likely to release their annual report patch after implementing real earnings management. Disclosing an annual report patch after implementing earnings management may have a positive impact on accounting comparability. This result indicates that an annual report patch published by sample firms may rectify disclosed errors or earnings management of a previous annual report, as a result accounting information quality will be improved.

Many studies have discussed mutual funds performance, especially about the persistence of excess returns. Regression is the most common method to be used to research the fund persistence. Dutta (2002) proposes a simpler approach – a direct annual examination of whether a fund beats a market proxy or not, to research the persistence in American mutual fund returns. In this study, authors use a similar methodology to analyse New Zealand growth mutual funds. In addition, a statistically robust method is juxtaposed as a comparison. The study finds that the most of the funds sampled during the period 1996‐2003 are unable to better the benchmark of the world index.

This paper assesses the spillover effect of returns of ten Chinese cross-listed equities which are traded in Shanghai, Hong Kong and US markets simultaneously. We find a strong unidirectional spillover effect from US market to Shanghai market, however, a significant two-way influence exists between Hong Kong and US markets. When we use VAR modeling to exam the same-day effect, we find evidence that the effect of same-day return occurs from the Shanghai to Hong Kong market and from the Hong Kong to US market; however, there is no such effect from the Shanghai to US market.