**4. Robustness Tests**

This section presents the tests of the robustness of the MA and TLS trading strategies. First, we examine whether there is a di fference in the trading results in the sub-periods before and after the non-tradable stock reform in China. Second, we investigate whether business cycles a ffect returns. Third, we study the impact of market timing ability on the strategies. Lastly, we use an alternative sample that contains stocks for which short-selling is permitted in China's market.

<sup>2</sup> In an unablated wealth analysis test, the end wealth of an initial zero-cost investment (long \$1 million in highest BM portfolio and short \$1 million in lowest BM portfolio) using the TLS(20) strategy is \$687 million, while the counterpart from the buy-and-hold strategy is only \$10.22 million.
