Based on the sample of listed companies from 1999 to 2020,this paper empirically tests the predictability of stock re-turns of production efficiency,and explores the sources of anomalies from the perspective of risk compensation and mispricing.The specific results show that:firstly,unlike the US stock market,the production efficiency of A-share market positively predicts the future stock returns;secondly,the risk compensation mechanism can not explain the production efficiency anomaly,and the mispricing theory based on behavioral finance is the most effective explanation for the production efficiency anomaly.Finally,through the analysis of arbitrage constraints,positive feedback effect,betting effect and information asymmetry in the mispricing,it shows that investors'irrational cognition and behavioral bias persist,and the production efficiency anomaly is stable and persis-tent.
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