We construct a stock learning index in China A-share market, which is based on a theoretical model of information and investment choice. The higher the learning index value, the more thoroughly the individual stock is learned. Our study shows that a stock with a high learning index will have a lower expected future return compared to a stock with a low learning index. Additionally, decomposition of predictive power shows that the predictive power of the learning index mainly comes from the persistence of its own predictive power, while the rest cannot be explained by changes in the volume of news (proxy for information flow). Moreover, the learning index can explain many market anomalies in China A-share market.