Refining A-Share Reversal Factors by Average Trade Size

Summary

This research report proposes splitting a stock’s recent return history according to average trade size. For each stock, it ranks the past N trading days by daily turnover divided by trade count, sums returns separately for the higher and lower halves, and defines a revised reversal signal as the high-trade-size return component minus the low-trade-size component. The proposed interpretation is that returns on high average trade-size days show stronger reversal, while those on lower trade-size days show weaker reversal or momentum.

Tests on A-shares from 2010 to 2018 report stronger factor statistics and long-short performance than a conventional 20-day reversal signal; the study also discusses style and industry adjustment, alternative lookbacks, index constituents, and rebalance frequency. It relates the result to intraday return segmentation while acknowledging that the behavioral explanation is not settled. The evidence is historical, and the report warns that future market conditions may differ. Its results do not establish that the signal will persist after implementation costs or in other periods and markets.

Key ideas

• The method ranks recent trading days by average amount traded per transaction.
• It separates returns from the higher and lower halves of that ranking and subtracts the latter from the former.
• The report finds stronger historical reversal characteristics for the high-trade-size component.
• Reported results cover A-shares over 2010–2018 and include factor and portfolio tests.
• The proposed trading behavior explanation remains interpretive, and historical results may not persist.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.