Journal of Chinese Economic and Business Studies

Investable Asset Pricing in China: Market Frictions, Short-Sale Constraints, and the Sustainability of Factor Investing

The empirical asset-pricing literature offers a vast catalogue of return predictors—but a pressing question remains: are these genuine, exploitable premia, or artifacts that vanish once real-world trading frictions are imposed? Recent evidence shows that average anomaly profits can collapse to near zero once short-sale costs are charged, with much of the return concentrated in the short leg. This challenge is especially acute in China, where constructing a true long–short portfolio is often infeasible. Costly and restricted securities lending, the T+1 settlement rule, symmetric daily price limits, heavy retail participation, and evolving regulation fundamentally reshape how quickly mispricing can be arbitraged.

This Special Issue invites research on investable asset pricing in China: the study of return predictability, portfolio performance, and market efficiency once China-specific institutional frictions are treated as central rather than peripheral. We welcome contributions on:

• Net-of-friction and long-only factor evaluation, including borrow costs, transaction costs, price impact, and short-leg attribution.
• Fundamental versus market-based signals in a long-only Chinese setting.
• Emerging and sustainability factors: carbon premia, emissions-trading shocks, ESG data quality and rating divergence, disclosure-regime effects, and machine-learning composites.
• Microstructure, regulation, and methodology: price limits, the lending regime, out-of-sample validation, and the sensitivity of results to design choices.
• Comparative work relating Chinese evidence to other constrained or emerging markets.

We favour carefully hedged, friction-aware conclusions over strong causal claims. All submissions undergo double-anonymous review.

Important dates: Submission portal opens 1 September 2026; submission deadline 30 December 2027.

Guest Editors: Dr Yi Cao (Xi'an Jiaotong-Liverpool University), Dr Zhenyu Lu (Xi'an Jiaotong-Liverpool University), and Dr Yishuang Xu (University of Manchester).